I remember having seen a windows software that shows one (in realtime) what files are beeing installed/extracted on the HDD and what keys are written in the registry during an .exe or .msi install process, but I don't remember what kind of software it was.
Was is maybe some kind of sandbox or a sysinternals tool?
Can anyone help me?
I think the sysinternals suite has utilities for recording changes from filesystem and registry (regmon and filemon).
Its a sysinternals tool that I use, called Process Monitor. http://technet.microsoft.com/en-us/sysinternals/bb896645
As I found out there are tools developed exactly for this purpose. Namely:
Sysinternals tools are great too, but you have to use good filters if possible otherwise, you'll have an extreme information overflow.