Confused with WindowsXP

The Run line not only provides you a place to run programs from a command line, it also allows you to make temporary network connections and gain acces to the Internet by typing a URL.
Go to Start>Run. now click on the "?" in the upper right corner the pointer changes to an arrow with a question mark. Now click on the Run box.

A Microsoft feature that is stated that Windows supports a document concept,which Microsoft thought would be an good addition to add so that you donot have to type the path name,and Windows XP will automatically go to that site,when you type in a url or execute a program from the run command.
If you enter a word file in the run command,it will automatically open Microsoft Word program.
Cannot explain how to disable this function

You can use TWEAKUI to clear the run history every time you boot up.