What is the difference between registry data, a registry value, and a registry key?

That's a pretty deep subject for a simple question and answer mechanism. In general, the Windows Registry is a database that the operating system uses to do lots of nifty things for you. It's not a toy -- so explore it at your own risk -- but if you're careful you can use regedit.exe (a registry editor pgm) to look around.

In a nutshell, you find a particular key in the registry and when you examine it you'll see the different values a particular key owns. If you examine the values you'll see what data they contain. So, keys can have values; and values contain data.

You'll need to find some documentation on the matter if you want more than a cursory dusting of information on the subject.

You can also check out what Wikipedia has to say on the subject (link below).