Download Tweak UI 1.33 at http://www.pcworld.com/downloads/file_desc...fid,2803,00.asp
Use the Paranoia tab of Tweak UI 1.33, (PowerToys for Windows XP's version of Tweak UI lacks this tab, but the tab in Tweak UI 1.33 works fine in XP. The two versions of Tweak UI can coexist on an XP-based system, as long as you don't try to use them at the same time.)
You'll find a number of options in the 'Covering your tracks' list. If you check any of these items and click OK, Windows will clear them each time you boot.
Document history: This is the list of recently opened documents you get by selecting Start, Documents (or in XP, Start, Recent Documents).
Internet Explorer history: This clears visited links and the drop-down list of recently visited URLs in IE's Address Bar toolbar. It does not reliably clear the browser's history list; to empty that, select IE's Tools, Internet Options, click the General tab, and select Clear History.
Run history: This option removes the list of commands that you typed in the Start, Run dialog box.