RMI registry is kind of RMI naming service (a server application) where remote objects could be registered under some string name so they could be found and accessed by other clients connecting the same registry.
RMI registry is an independent executable, a part of Java runtime package. It must be started, binds to the given port (1099 by default) and listens to remote or maybe local network calls.
Java code that uses RMI must obtain the registry through LocateRegistry.getRegistry(host, port) or similar method. Normally, at least some RMI-capable applications access the registry remotely over the network.