As said by "deejaydee" and mention in your post if the option "List my most
recently open documents...." is missing from Start Menu customization
options then it may be disabled through Group Policy Editor (if Windows XP
Professional ) or a Registry Entry has been added if running Windows XP Home
Edition.
If you are using Windows XP Professional, try this:
1. Type GPEDIT.MSC in Run and press enter.
2. Expand To:
User Configuration - Administrative Templates - Start Menu and Taskbar
3. In the right side pane, double click the entry "Remove Documents menu
from Start Menu".
4. If the entry is set to Enable, change it Disable. If it was alreay
configured as Not Configured or Disable then change it to Enable and then
again set it Disable.
5. You may require to Log Off and Log in again or Restart your PC.
If you are using Windows XP Home Edition, try this: (be careful, as
modifying registry in incorrent manner may harm your windows)
1. Click Start - Run - type REGEDIT and press Enter key.
2. Expand To:
HKEY_CURRENT_USER\SOFTWARE\MICROSOFT\WINDOWS\CURRENTVERSION\POLICIES\EXPLORER
3. In the right side pane, look for an entry called "NoRecentDocsMenu"
4. If entry exist, Delete it and restart your PC.
Hope this help, let us know!