The windows media player displays the recently accessed files under the File Menu’s Recent File List section. In order to clear these Recent File List and to disable the Recent File List option you need to do the following
Click on the Tools menu followed by the Privacy tab. Under the history section there will be a option to clear the history, this should clear all the recently accessed files. If you do not want to the Recent File List option then uncheck the Save file and URL history in the Player.