Knowing your version of Excel would greatly assist in trouble-shooting this
problem.
For versions earlier than Excel 2002.........
Files opened externally do not show up on the MRU list, only those opened from
File>Open
Dana DeLouis offers VBA code in this google search thread.
http://snurl.com/1qzz
For Excel 2002 and 2003............
Are you running TweakUI?
If so, you may have disabled the MRU lists by unchecking "maintain document
history list" under the Explorer tab.
Read more here..........
http://groups.google.ch/groups?hl=de&lr=&ie=UTF-8&selm=#OB7jndUBHA.2008@tkmsftngp07
Gord Dibben Excel MVP