"START button, Run, RegEdit", & navigate to...

HKEY_CURRENT_USER\Software\Microsoft\Windows\CurrentVersion\Policies\Exp
lorer

That is,
(a) Click plus signs, beginning at "HKEY_CURRENT_USER" & ending with
"Policies".
(b) Click "Explorer" in the left pane, & look in the right pane.
(c) R-Clk "NoFind", if there, in the R-pane, & select "Modify".
(d) Change it to zeroes: 00 00 00 00. (Use delete key.)
(e) Exit, & it may be necessary to reboot.

WARNING: Do not get carried away in the Registry. It is very important
to the proper functioning of Windows. Muss it badly, & you must boot to
DOS & "Scanreg /Restore". Then, choose the date of the last successful
boot from the five offered.

The rest of this is just informational...

.....Start of Other things that may be done there.......
Right-click the right pane and select New, Binary Value:

To remove Documents, name the binary value: NoRecentDocsMenu
To disable the Documents compilation process, name the binary value:
NoRecentDocsHistory
To remove Favorites, name the binary value: NoFavoritesMenu
To remove Find, name the binary value: NoFind
To remove Log Off, name the binary value: NoLogOff
To remove Run, name the binary value: NoRun
To disable Shut Down, name the binary value: NoClose
To disable Control Panel and Printer folders, name the binary value:
NoSetFolders
To disable Taskbar context menu, name the binary value:
NoTrayContextMenu
To prevent some few settings getting saved to the Registry, name it:
NoSaveSettings

Double-click the new entry, select modify,
and add this value: 01 00 00 00.
To reverse the action, change the value to: 00 00 00 00
......End of Other things that may be done there.......

http://support.microsoft.com/default.aspx?scid=KB;EN-US;q130234
Save Settings On Exit Option Enabled by Default
...Quote.............
...snip...
Setting the NoSaveSettings field to 1 prevents your settings from being
saved. When you set this value, the following items are not saved when
you exit Windows:

Changed icon positions on the desktop.
Windows that are open when you exit.
The size and position of the taskbar.
...End quote.......