(when viewed in IE 6 with default secutiry and with VirusScan installed, this HTML displays the location of the current Windows desktop bitmap)
You can see this behaviour by selecting the 15-Day Free trial of McAfee Virus scan from this page: http://download.mcafee.com/us/eval/evaluate2.asp?cid=9445 Then going through the account creation process and then clicking on the download link.
The download page (the one with the "Start" button) appears to install a number of ActiveX controls which are not secured in any way. As well as the registry one, there are controls for acessing the file system and for configuring the operating system.