open Notepad > Type & Save the below text with a filename xxx.vbs & run it.

'mediaplayer_mru_off.vbs - Prevents additions to the Recent Files List

Option Explicit
On Error Resume Next
Dim p1, p2, p3, WshShell, MyBox

p1 = "HKEY_CURRENT_USER\Software\Microsoft\MediaPlayer\Preferences\AddToMRU"
p2 = 00
p3 = "HKEY_CURRENT_USER\Software\Microsoft\MediaPlayer\Player\RecentFileList\"

Set WshShell = WScript.CreateObject("WScript.Shell")

WshShell.RegWrite p1, p2, "REG_BINARY"
WshShell.RegDelete p3

Set WshShell = Nothing

MyBox = MsgBox("Media Player's Recent File list is Disabled", 4096, "Finished")