The Run is an especially attractive haven for spyware companies. That's how spyware programs run their programs after users reboot their computers. If you suspect there are weird entries in these registry keys, download spyware removal software and run it. If you don't know what you're doing don't mess with the keys.
I also check TaskManager regularly for weird processes. It's a bit technical, but after a while you can see which processes belong and which ones don't.