1. Goto > Start > Run
2. Type regedit - click ok
3. Navigate to - HKEY_CURRENT_USER\Software\Microsoft\MediaPlayer\Player\RecentFileList
4. Look at the window panel on the right - delete all that you wish removed from media player recent list
5. Right click on RecentFileList and goto Permissions..
6. Check the deny access box for any account on the machine.

This should make it so nobody on the machine has read/write accesss to recent file list so it will never save any media played in this folder. WMP works fine with this.