You need TweakUI, download here:
http://www.microsoft.com/windowsxp/downloads/powertoys/xppowertoys.mspx
* open Tweak UI
* click on 'Explorer'
* check 'clear document history on exit', click OK
Note:
Do some research on the 'clear document history on exit' because I believe
all document histories are cleared, for example, your IE History links &
Microsoft Word document history.
Drew