De link :
If you're using a third-party system maintenance program like System Mechanic or Fresh UI, disable the corresponding options in that utility which clears the RUN history. Note that some versions of Zone Alarm has a Cache cleaner facility under Privacy settings.
Another possibility is that the ClearRecentDocsOnExit registry value is set to 1 in the following registry key:
HKEY_CURRENT_USER \ Software \ Microsoft \ Windows\ CurrentVersion \ Policies \ Explorer