I found this in a few different places around the 'net - hopefully it's helpful:

Remove Record of Recently Used Documents

In Windows XP Professional, the Start menu contains a My Recent Documents folder that contains 15 of your recently used documents.

To remove the record of recently accessed documents:

• Right-click Start, click Properties, and then click Customize.
• Click the Advanced tab, and then click Clear List. If you're using the Classic Start menu, click Clear.
• Clicking Clear List empties the My Recent Documents folder. It doesn?t delete the documents from your computer.

If you don?t want to include anything in the My Recent Documents folder:

• On the Advanced tab, click Customize, and then clear the List my most recently opened documents check box.
• In Windows XP Home Edition, My Recent Documents is not automatically listed on the Start menu. You can turn on this feature by right-clicking Start, clicking Properties, clicking Customize, and then selecting the List my most recently opened documents check box.