Here's how to disable the recent documents history:
1. Type regedit in the Start/Run window.
2. Navigate to HCU\Software\Microsoft\Windows\ CurrentVersion\Policies\Explorer.
3. Create a new DWORD value, or modify the existing value of NoRecentDocsHistory by double clicking.
4. Set the Data Value to 1. Save the value and close the registry editor.
The next time you start Windows, your recent documents folder would remain empty and won't track your open documents.
Update: There are other settings like NoActiveDesktop, NoRecentDocsNetHood, NoUserNameInStartMenu, etc under the same hive key. You might want to disable them if you rarely use them.