Start | Run | Type regedit, and click OK | Expand the following branch...
HKEY_CURRENT_USER | Software | Microsoft | Windows | CurrentVersion | Policies | Explorer
Highlight the Explorer sub-key, and check in the RH pane for the ClearRecentDocsOnExit DWORD | If present right click the Value name and select "Modify" | In the Edit DWORD Value dialog that opens, make sure 0 is entered in the Value data field. If the DWORD isn't present, right click in the RH pane and select New --> DWORD | Name the new DWORD ClearRecentDocsOnExit, and modify the value as 0.