For Windows XP, there is a secret trick to disable the creation of entries under the UserAssist registry keys:
under HKEY_CURRENT_USER\Software\Microsoft\Windows\CurrentVersion\Explorer\UserAssist, create a key named Settings and under this new key create a DWORD value named NoLog with value 1. My UserAssist tool has a menu toggle (Logging disabled) to do this easily.
I call this a secret, because there is no official Microsoft documentation about this key, but of course, there are many pages on the Web about this switch.
This switch doesn’t work with Windows Vista. For Vista, you have to set the following key to 0 to disable logging:
HKEY_CURRENT_USER\Software\Microsoft\Windows\CurrentVersion\Explorer\Advanced\Start_TrackProgs
But now, it’s not a secret anymore. Open the properties of the Start Menu:

The Store and display a list of recently opened programs checkbox allows you to toggle this Start_TrackProgs registry value.
Like for Windows XP, changing this switch only has effect after restarting Windows Explorer.