Is there some system setting that clears this registry object on any of
"logout", "closedown", or "logon"?
Or can it only be done from some utility at the appropriate time?

There are many many places that you can stop XP from tracking what you are doing. Turn off the autocomplete. With IE open go tools\internet options\content tab\autocomplete button and uncheck all boxs. Now for most of the others this requires registry tweaking but is quite safe if you follow the directions. go>start\run and type in regedit and click ok. Now follow this route by clicking the + beside the entries in this order. HKEY_CURRENT_USER\Software\Micorosoft\Windows\CurrentVersion\Explorer\RunMRU and right click on RunMRU and then click permissions and in all cases set it to deny. Do the same for MRUList. Now to stop the search history HKEY_CURRENT_USER\Software\Microsoft\SearchAssistant\ACMru right click ACMru and then click permissions and then set to deny in all cases. Now for the Autocomplete. HKEY_CURRENT_USER\Software\Microsoft\Windows\CurrentVersion\Explorer\AutoComplete right click on AppendCompletion and modify to no Right click on AutoSuggest and modify to no If for some reason neither of these sub keys is present then click AutoComplete to highlight the key and open the subkeys on the right and in a blank area right click and then click new and then string and then type in AppendCompletion and then click a blank area to set the sub key and then right click on this new key and click modify and set to no. Do the same for AutoSuggest . This does most of the registry tweaks. There are a couple more complex ones to turn off XPs need to track everything you do but they're a little to much for a beginner. There are free programs like MRUBlaster if you don't want to make the reg changes. good luck.

Thanks. My actual problem was that these things were being cleared when
I didn't want such action. I have now discovered that an entry in the
registry had become set to the "wrong type" of value. Fixed by applying
this:-

[HKEY_CURRENT_USER\Software\Microsoft\Windows\CurrentVersion\Policies\Explor
er]
"NoSaveSettings"=dword:00000000

The value had become type "REG Binary" with value 00 00 00 00.