To edit the computer registry, first you should log onto your computer with administrative rights.
Click Start button and type regedit in Run option then press Enter for next.

Navigate to HKEY_Current_User \ SOFTWARE \ Microsoft \ Windows \ CurrentVersion \Policies\Explorer

Now in right side panel, click right to create a new DWORD value with the name ClearRecentDocsOnExit and then set its value to 1.

But next time, if you want to disable this functionality then simply change the value of data box to 0 or delete the ClearRecentDocsOnExit DWORD item.
Now close the registry editor and restart your computer after any changes to go into effect.