CLSID RG_SZ value not set, vulnerable? What are they for?

Hey there, hope it's o.k. do do this. I think this is the place I need to be for my question. This is clipped from my post at the Welcome Center:

"I need to be pointed in the right direction I guess. Not sure where to go with this. I have an installed security program that has an [RG_SZ value not set] string in HKEY_CLASSES_ROOT. I found this during a registry scan and It's been buggin' me.

I'm obviously over my head but I can handle some basic info on this. What does a 'no value set' string do?"

I'll add this: Can it be somehow part of a malware nasty process?

My fins are flopping...