There are several ways to monitor for changes in Windows regisrtry, either from C++ or from VB and PowerShell.
WMI might be good if you need an asynchronous notification, but simple timed polling in Powershell with Get-ItemProperties might be enough for a basic implementation.
I have not investigated if using a System.IO:FileSystemWatcher object works with a path from the Registry virtual FS provider.
Once you have this set up, you can write code for your F0 to act as a USB CDC device and toggle pins at your leisure according to commands sent by the Windows program on the relevant COM port. If you have Windows 10 no driver or .inf is needed.
Is that what you're after?
I somehow suspect it's not...but the question is not very clear, and does not show much effort in finding the answer by yourself.