The list of MRU programs is at HKEY_CURRENT_USER/Software/Microsoft/Windows/CurrentVersion/Explorer/ComDlg32/OpenSaveMru/.exe
Depending on what you want to do, there are various ways to manipulate this list. XP also has some exclusions for certain programs it will not add to the MRU list.
The information is pretty spotty on controlling this, though. Other than preventing programs from appearing in the list.