HKEY_CLASSES_ROOT is just a logical structure..
Just came to know that HKEY_CLASSES_ROOT is nothing but a logical top level component.. The main source for this root is, HKEY_LOCAL_MACHINE\SOFTWARE\Classes.
If you want to experiment with it, try creating a new key under HKEY_CLASSES_ROOT and then open HEKY_LOCAL_MACHINE\SOFTWARE\Classes key, you will find newly created key there too.
Dont know how many such secrets windows has hidden inside it!!