U might be wondering what is the need for doing this.This is needed because there are certain hidden commands in XP which are known to admin & he/she don't want its user to use those commands.
Goto start->settings->Taskbar & start menu(click it)
In Taskbar & start menu properties,go to start menu tab.There u will get customize button as shown in figure
click it and u will be presented with another window popup.press the clear button.Now all the commands that u have entered in run will be deleted. It will also delete list of all the files that the user has opened.
What i suggest u is try using ccleaner.It will automatically remove those entries,also it will increase your system performance.