> Where can I find this
Set Value in which security dialog?
Well, this is a pretty long way.
Right-click a key, in the context menu click Properties. Switch to the Security tab.
Select the entry corresponding to your user account and click Edit.
In the Permissions Entry click the Show advanced permissions link and you'll see it.
I cannot explain here how all that settings work, it is too complex. Ask google if you are curious.
As far as I can see the Registry Finder deny problem is caused by the the fact that I want to delete a value rather than a key.
The error is caused not by the fact that you are deleting a value, but the permissions set on the key. This is not a common setup, but it might be normal in your environment.
Can add an option to let users automatically delete the corresponding nearest parent KEY when I mark a value and press DEL?
I cannot see a commonly used scenario for such an option.
Blindly deleting a key is not a good idea.
In general, you first examine the key in the Registry window, then decides what to do.