Does anybody know what registry entry need to be removed (and where it is located) if Morrowind haven't been uninstalled properly?

If you need to uninstall Morrowind there is two ways to do that.

1 - just delete the game folder "\Bethesda Softworks\Morrowind" and run regedit in start > run to launch it
2 - download http://www.auslogics.com/en/software/registry-cleaner/download/ and run it

That should fix it.

I don know. Try deleting HLM\software\Bethesda softworks. This may be sufficient depending on what it is you want to achieve.

Leonardo's suggestion may work, but to do it manually depends on your OS. Win 7 is HKEY_LOCAL_MACHINE/SOFTWARE/Wow6432Node/Bethesda Softworks/Morrowind. Find, right click and delete the key in the left panel named Installed Path. Thats for 64 bit Win 7. In 32 bit, you should find Bethesda Softworks directly under /SOFTWARE.

I'm not sure I remember correctly, but I think XP is the same as Win 7 32 bit.