There are several lists of recent documents. The one available via the Start
menu can be cleared in the Taskbar and Start Menu Properties dialog box
(right-click the Taskbar).

To clear the list in the Open dialog box in Word: Click the Tools button,
and then click Clear Document History.

Finally, the list accessible via the File menu (or the Office button in Word
2007), can be cleared by setting the number of recent files to zero.

See:
http://www.gmayor.com/clear_recently_used_file_list.htm