Well, the registry entry really depends on the program. It's hard to tell because different programs set it up in different locations. My best guess is to look under:
HKEY_LOCAL_MACHINE -> SOFTWARE -> Microsoft -> Windows -> CurrentVersion -> Run (or RunOnce)
Most of the time i get malicious software installed, and when i check TaskManager it doesn't seem to appear there, the above location is where I would look. There would be a key there that contains certain commands that make this malicious program run when windows starts.
I have to warn you that messing with registry is not a good idea, if you don't know what you are doing. It can totally mess up your system. My suggestion to you is to find out what exactly is the filename of this malicious program. The filename for it and the location of this program is stored. This makes it easier to find the key that the program is using, by doing a registry search and using the malicious program name as the search keyword. Sometimes I even have to go to the extent of using a Hex editor to crack the program and see where its putting its registry keys or malicious scripts. If your malicious program is a common one, the instructions to remove it should posted be somewhere on the Internet. Do a search and see if you come up with anything. And if you are REALLY UNSURE of what youre doing with the registry, do a backup of the original registry before you do anything. In case anything goes wrong, you could Import the old registry setting back in. Let me remind you again, playing around with registry setting can cause your Operating System to not function properly or not function at all.
Just for curiosity sake, what 'malicious program' are you talking about? What does it do?