Windows keeps track of all the files you open from within Windows (by double-clicking a file in Windows Explorer, for instance). This can have privacy implications, and over time the %userprofile%\Recent folder, where shortcuts to all tracked files are stored, can get cluttered. To empty this folder, right-click the Start button, choose Properties, and click the Customize button to the right of the Start menu option. In the Customize Start Menu dialog box, click the Advanced tab.
To empty the Recent folder, click Clear List. (This option deletes the shortcuts in the Recent folder only; it doesn’t delete the files themselves!) To stop keeping track of recently used files, To hide the My Recent Documents shortcut on the start menu, clear the List my most recently opened documents checkbox.
Update: The original version of this tip contained an error, which I’ve highlighted and corrected above. If you want to stop tracking recently opened files in Windows, you’ll need to change the attributes or permissions of the Recent folder or use a third-party utility. Microsoft’s Tweak UI PowerToy for Windows XP can do the job. Click the Explorer heading and clear the Maintrain document history option.
Ed Bott 
I do not know whether anyone else has this problem, but on my computers, clearing the “List my most recently opened documents” checkbox does not prevent new shortcuts from appearing in the %userprofile%\Recent folder. I had to use NTFS permissions to remove my account’s write access to the folder in order for it to stop.
You need to go to the %userprofile%\Recent folder and turn off write permissions. Richt click -> Properties -> Security Tab -> remove check box from the ‘Write’ box.
This will prevent documents from being tracked in this folder.
Jason, that only works if you’re using XP Pro. With XP Home Edition, you would have to use CACLS to accomplish the same thing.