HI,
Which program version you are using ?
For program version 6.06 or latest you can find the sqlyog.ini in the following path,
For Xp: C:Documents and SettingsUser_nameApplication DataSQLyog
For vista:C:UsersUser_nameAppDataRoamingSQLyog
If you want to clear the recent files list then you can edit it from the Sqlyog section in the sqlyog.ini file.