Never mind, this will work perfect for my needs and might help someone else.
Code:
    Sub SetAppPath()
        Try
            My.Computer.Registry.CurrentUser.CreateSubKey("Software\Companyname\Productname\Version\")
            My.Computer.Registry.SetValue("HKEY_CURRENT_USER\Software\Companyname\Productname\Version\", "ApplicationPath", Application.StartupPath)
        Catch AppRegSetStartUp As Exception
'add exception stuff if need. 
        End Try
    End Sub