If you're comfortable tweaking the registry, here's a solution:
If you didn't use/don't have TweakUI, then you can fix it with Registry Editor (regedit.exe). Go to this registry key:
HKEY_CURRENT_USER\Software\Microsoft\Windows\Curre ntVersion\Policies\Explorer
Double-click the NoRecentDocsHistory item in the right-hand pane and set its value to decimal 0 or binary 00 00 00 00.