For SQL 2005, delete the file:
C:\Documents and Settings\<USER>\Application Data\Microsoft\Microsoft SQL Server\90\Tools\Shell\mru.dat
For SQL 2008, the file location, format and name changed:
C:\Documents and Settings\<USER>\Application Data\Microsoft\Microsoft SQL Server\100\Tools\Shell\SqlStudio.bin
How to clear the list:
- Shut down all instances of SSMS
- Delete/Rename the file
- Open SSMS
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