All of a sudden I got a Most recently used icon on my desktop in W7. It turned up when I emptied the list using Windows Explorer. Nice. Not. Even better, this was not a shortcut, so I could not just delete it.
I right-clicked the desktop and selected Customize – Change Desktop icons and then cleared the only tick mark I could find – the waste basket – and both the waste basket and the annoying MRU vanished. I turned the basket back on and could close down the windows – no more MRU. Good.