most recent used files

i have this problem in both xp & vista for excel & word 2003.i set the limit of recent used files to be kept as 5 in both word & excel, when i start both programs the files that i use are reported in both file menus, if i exit both programs when i start them again the used files are still appearing in the file menus, but when i start the computer after shutdown then no files appear in the file menus of word & excel. really this is not a big problem, but i would like to know what the heck happened.
thank you for your answer and ciao