The ultimate desire for malware authors is to be able to have their code run every time a computer starts, and leave no trace on the disk for us to find. Let me reassure you that it hasn’t happened just yet, at least not that I have seen. There have been plenty of examples over the years that have taken advantage of some clever techniques that disguise their disk-based homes, but that’s just it–disguise!
A couple of recent posts on “Poweliks” here and here shed light on creative measures attackers use to store malware in the Windows Registry. In short, there is a registry value that executes an encoded script stored in another registry value, which then drops a file on disk for execution.