I'm a little confused people!!

CyberCarsten, I think you meant the string "Click here to start" that comes hovering in from righ to left on the task bar...
Everybody else seems to be talking about the string "Start" ...

Wen Lie, AFAIK "Start" is inside explorer.exe and not inside the registry.
Could you tell me exactly what you edited in the registry using regedit.exe to change the caption..

For editing binaries etc. I recommend HackMan as a hexEditor:
http://members.tripod.com/techmasters/