SQL Server management studio has a very good feature it remembers that last X server that you connected using this tool. That's superb... but... what happens if you want to remove your "fingerprints".
You can modify or remove a file called "mru.dat" that is located in the following path:
C:\Documents and Settings\<user>\Application Data\Microsoft\Microsoft SQL Server\90\Tools\Shell\mru.dat.
More info about this:
http://stevenharman.net/blog/archive/2006/10/25/SQL_Server_2005_Management_Studio__Clear_Recent_Servers_List.aspx