Deleting a registry key containing spaces

Hello,

I am trying to delete a registry key the following way:

DWORD error = 0;
error=SHDeleteKey(HKEY_CURRENT_USER, "Software\\my test");

for some reason this error always equals 0x00000002 in
Winerror.h you can find this meaning:
//
// MessageId: ERROR_FILE_NOT_FOUND
//
// MessageText:
//
// The system cannot find the file specified.
//

Can someone help me with this?
I found it strange that it is even impossible to delete
the key this way:
Start->Run...
regedit [-HKEY_CURRENT_USER\Software\my test]
where regedit sees 2 parameters.

Thanks,
Koen