Lews, try this one
Add to this registry entry
HKEY_LOCAL_MACHINE\SOFTWARE\Microsoft\Windows\CurrentVersion\policies\Explorer
a DWORD-Value called "ClearRecentDocsOnExit" and add the value "1".
Restart your PC and the run-entries should go away <img src="/ubbthreads/images/graemlins/winkwink.gif" alt="" />
This entry also clear the lists-entries from "Documents" and "URL-History".