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Windows XP Tips, Illustrations and registry edits
If the ClearRecentDocsOnExit policy is enabled, the Recent Documents on the Start Menu may get cleared on each reboot. However, it stores the documents that you've opened during the session. To prevent the document history from being cleared on every restart, set the ClearRecentDocsOnExit registry value to 0.
If you're using Windows XP Professional, you may also use the Group Policy Editor and set the policy to Not Configured.
More Information on the ClearRecentDocsOnExit setting. You may also TweakUI to enable/disable this feature. TweakUI can be downloaded from the following MS site: