The Windows Media Player 9 Help topic states:
Click to remove stored information from the list on the File menu and from the lists in the Open and Open URL dialog boxes.
When you click the Clear History command, only the most recently used files on the File menu are cleared.
To clear the files from the Open and Open URL dialog boxes:
1. Right-click the Start menu and press Properties.
2. Select the Start menu tab.
3. Press the Customize button.
4. Select the Advanced tab.
5. Press Clear List to begin the clearing process.
NOTE: The above procedure effects all programs that maintain similar lists.