<p>I'm a new Windows programmer and I'm not sure where I should store user configurable application settings.  I understand the need to provide a user friendly means for the user to change application settings, like an Edit | Settings form or similar.  But where should I store the values after the user hits the Apply button on that form?  </p>

<p>What are the pros and cons of storing settings in the Windows registry vs. storing them in a local INI file or config file or similar?</p>

Pros of config file:
Easy to do. Don't need to know any Windows API calls. You just need to know the file I/O interface of your programming language.
Portable. If you port your application to another OS, you don't need to change your settings format.
User-editable. The user can edit the config file outside of the program executing.
Pros of registry:
Secure. The user can't accidentally delete the config file or corrupt the data unless he/she knows about regedit. And then the user is just asking for trouble.
I'm no expert Windows programmer, but I'm sure that using the registry makes it easier to do other Windows-specific things (user-specific settings, network administration stuff like group policy, or whatever else).
If you just need a simple way to store config information, I would recommend a config file, using INI or XML as the format. I suggest using the registry only if there is something specific you want to get out of using the registry.