Warning: if you're not used to working with regedit, DON'T TOUCH IT!
OK?
Startup regedit and find this key:
HKEY_CURRENT_USER\Software\Cakewalk Music Software\Home Studio\2004.0\Recent File List
(or Cakewalk Music Software\SONAR* \Recent File List if you're using SONAR. You can search for filenames too, to find the correct registry entry I mean)
* help me out here with the correct name, Moskus or James!
Anyway, delete the entries and they're gone.
Why do you want to do this?