This for all Service Pack levels and Windows OS (NT/W2K/XP)

"Access Denied" error pertains to the inability to change, remove, or
edit a registry key during the installation or uninstallation of a
service pack.

A simple resolution is to logon as the local Administrator or an
account in the local Administrator group. Run the install, choose
"Archive" previous version of SP and let it run until the error
pops-up. Once you see the dialogue, start "regedt32" from a DOS shell.
Browse to the registry key that it is complaining about (example:
HKLM\SOFTWARE\CLASSES\INTERNET.HHCTRL\CLSID )and gave the
Administrator account permission to access the key. Continue on with
the install afterwards.

Note: The only way to determine what registry key SP is having
problems accessing is to select "Archive" during installation.

Simple huh?

Jallokin