Open your registry with regedit.
Navigate to these two locations:
[HKEY_CURRENT_USER\Software\Microsoft\Windows\CurrentVersion\Policies\
Explorer]
[HKEY_LOCAL_MACHINE\Software\Microsoft\Windows\CurrentVersion\Policies\
Explorer]
Look for a dword called ClearRecentDocsOnExit and if it is in either place then change it's value to 0.
Now (in the same place) see if there is a DWORD called NoRecentDocsHistory. If so, change its value to 0.
Finally in the same area look for a DWORD called NoRecentDocsMenu. Change its value to 0 as well if it is there.
Reboot.
Hope that helps!