$RegistryPath1 = 'HKCU:\Software\Policies\Microsoft\Windows\Installer'
$RegistryPath2 = 'HKLM:\Software\Policies\Microsoft\Windows\Installer'
$Name = 'AlwaysInstallElevated'
$Value = '1'

Create the key if it does not exist

New-Item -Path $RegistryPath1 -Force | Out-Null
New-Item -Path $RegistryPath2 -Force | Out-Null

Now set the value

New-ItemProperty -Path $RegistryPath1 -Name $Name -Value $Value -PropertyType DWORD -Force
New-ItemProperty -Path $RegistryPath2 -Name $Name -Value $Value -PropertyType DWORD -Force