If your computer were a book, the registry would be the table of contents and the index. It tells the system what is in it and where it can be found.
Every time something gets removed from the computer, a 'ghost' of it can be left in the registry. Ditto if stuff gets updated and moved. When the registry has superfluous and incorrect information, it takes longer to find something, just as it would in a book if the index said the info you wanted was on page 25 and it was really on 27.
The ideal solution is to backup your hard drive and take your computer to a local expert who has very good programs for registry cleanup. Since often that is not possible, a program like the one Boyd recommended is the next best thing.
Don't try to clean up your registry manually. It's written to be read by the computer, not by humans.