As far as I can remember the only options to modify the registry within a GPO are based upon the computer configuration which would not be of much use as you say that you need to modify the registry upon the user opening the app. You could try using the SU (Switch User) utility thats part of the windows 2000 server resource kit. Once SU installed on the XP clients you could generate a script that modifys the registry automatically, you could try using the kix scripting engine as it does have native commands that allow modification of certain areas of the registry. the SU utility can provide security to protect the password used to elevate the privileges of the logged on user.
It might also be worth you having a look at the following Microsoft article though it references NT4 it may still be effective.