You might assume that Windows Safe Mode can be useful in fixing malware infections and you'd be right, but not in all cases. As McAfee's Avert Labs points out, it's possible for malware to set itself up to load even in Safe Mode. The software and services designated to run in Safe Mode are listed in these registry keys:
McAfee says that malware can set itself through these keys to load at boot time even in a safe boot. They don't list any specific malware which does this. McAfee refers to their "safe surfing" guidelines.