See http://support.microsoft.com/?kbid=284896 "'Most recently used' list
missing from File menu and 'Recently used file list' option unavailable
in Office XP and 2003".

PaulD wrote:

I just upgraded from Word 97 (office 97) to Word 2003 (Office 2003) and in
the "options" dialog, the option to set up the Recently Used Files list is
grayed out and not available. Since I have lost the Office Toolbar, I really
would like to have the recently used files list for speedy access.