Actually, I have Windows 2000, and in Win 2000, there are MANY jj2 keys. I am not exactly sure how to get to the correct one, but dig around, just don't delete anything.

If you want it to be a bit more obvious, start JJ2, start multiplayer, name/colour your rabbit from the 'default' stuff, and act as if you're joining a server, then click out of it. Go back to the registry and player 0, 1, 2, 3 and so on should now be under 'Epic Megagames> JazzJackrabbit2> 1.23.