Les is right (kind of), but Jural did not say he is running AD nor whether or not he has rights on any Domain system to apply policies.

Policies can be used even when the user does not have the rights to modify. Logon script in the HKLM area would need the user to be Admin or special rights applied to where the edit occurs.

GPO by default reapplies itself every 90 minutes and during logon. Script will modify every time the user logs on even if the user rips it out. After a while of it being replaced by either means, the user will probably tire of changing it and leave it alone. GPO can also prevent user from modifying it.