This has never worked. (XP-HOME Sp3 on a laptop with 2G RAM and 24 GB free on a 55 GB drive.) I had hoped that the latest upgrade (v2.31.1153) would solve the problem. No such luck.
Open CCleaner, select "Options", select "Exclude", Add "C:\Documents and Settings\[user name]\Recent\*.DOC, *.JPG; *.BMP; *.jpg; *.bmp; *doc" (or just C:\Documents and Settings\[user name]\Recent\*.*) and run the cleaner. Exclude didn't! (exclude, that is). All the shortuts are cleaned, leaving only "Desktop.ini"
This may be related to the fact that the folder is called "My Recent Documents" instead of simply "Recent" but CCleaner does not allow me to edit the entry that way - I have to use the "Browse" key, and THAT only discloses "Recent".
This is, like the vanishing "recent" in MS Word, a petty annoyance that I'd like to see corrected.