There are file directories list that list the files in directories. Examples are Windows Explorer or Macintosh Finder A right mouse click will bring up the context menu with the delete option.
There are MRU list, Most Recently Used, listings in programs. This is a list of short cuts to files that were most recently used by the application or the computer. These are not files, just an address to where the file might be or was. One cannot directly remove the entries. One can either change the number of entries listed or edit the systems registry, not this last option if done wrong could damage you computer. Removing the file name from the MRU list does not delete the file only the record of it's access.
For Acrobat or Reader one can use the Preferences to change the number of entries retained in the history list from 0 to 100.
Above all, you do not right click INSIDE Adobe Reader, but in Explorer or Finder. Same as deleting any other kind of file.