In Word: Tools > Options > General and remove tick for 'Recently used file list'
Also don't forget that they will show up in Start > All Programs > My recent documents
you can remove them (it's just the shortcut you will be removing) by individually right clicking on each one and then choose 'delete' for each one in turn.
If you wanted you could clear by right clicking on Taskbar > Start Menu > customize and 'Clear List' of Recent documents.
hope this helps.