They are in the registry. (Search it for one to find the key.)
You can wipe the key by making a .reg file with the key after you have
cleaned it.
There is also a way to do it without the registry, but, I can't find it at
the moment.
You can get rid of the short cuts in the "open site" box by clearing them
out of the "my network places" area in Windows. (They are just shortcuts, so
you can delete them. They will re-appear as you re-open.)
