Windows Media Player stores all the recently and frequently played music and video files. If you want to clear them just follow the below steps,
1. On your Windows Media Player right click and select the option More options
2. Click the tab Privacy
3. See at the bottom of this screen where you can find the heading History
4. Click on the button Clear History which would clear all your recently played files.
5. You can also uncheck the checkboxes for Music, Videos etc which will not store and display your files that were recently played.
6. I see this option on Windows 7 with the Windows Media Player version 12 (so not sure about other versions and OS)