On Vista delete:
C:\Users\<user>\AppData\Roaming\Microsoft\Microsoft SQL Server\90\Tools\Shell\mru.dat
On XP delete:
C:\Documents and Settings\<user>\Application Data\Microsoft\Microsoft SQL Server\90\Tools\Shell\mru.dat
Unfortunately this removes all entries. I haven't found a way to remove a single entry yet.
If the above doesn't work I have heard mention of:
C:\Users\<user>\AppData\Roaming\Microsoft\Microsoft SQL Server\90\Tools\ShellSEM\mru.dat
or
C:\Documents and Settings\<user>\Application Data\Microsoft\Microsoft SQL Server\90\Tools\ShellSEM\mru.dat
but cannot test as I do not have the folder.
An article on the SQL Server 2005 Management and Administration Tools:
http://www.informit.com/articles/article.aspx?p=680822&seqNum=2