This usually occurs when your oracle client is not in the PATH of your computer.
Make sure that the PATH environment variable contains both <Oracle client path> and <Oracle client path>\bin.
Also, this can happen if the SID of the database you want to connect to is simply not defined in the tnsnames.ora file under your oracle client installation path. If I recall correctly - it is under <Oracle client path>\network\admin\tnsnames.ora
Edit: The registry should contain an ORACLE entry set under: HKEY_LOCAL_MACHINE\SOFTWARE\ORACLE\
There should be a key named HOME0 with string values: ORACLE_HOME and ID. I assume there are other values required as well - but those two I'm sure of. Check that ORACLE_HOME points correctly to the oracle client location.