They are saved to
HKEY_CURRENT_USER\Software\VB and VBA Program Settings
and for the example
SaveSetting "MyProgram", "StartUp", "Check1", Check1.Value
by CubeE101:
HKEY_CURRENT_USER\Software\VB and VBA Program Settings\MyProgram\StartUp\Check1
What many do not realize, is that you can also branch this out even further:
SaveSetting "MyProgram\Version\6\Build\6951", "StartUp\Type1\ControlName", "Check1", Check1.Value
will store the value in:
HKEY_CURRENT_USER\Software\VB and VBA Program Settings\MyProgram\Version\6\Build\6951\StartUp\Type1\ControlName