I'm sure it's in the AE prefs somewhere, but since I never use the welcome screen, I can't tell you excactly where. You may wish to open the file and look for "MRU" (most recently used), then delete the respective entries. The file can be found in C:\Documents and Settings\Commalot\Application Data\Adobe\After Effects\9.0\After Effects CS4 Prefs.txt.
My solution is to follow your lead. No Welcome Screen.