For SQL 2005:
C:\Documents and Settings\<USER>\Application Data\Microsoft\Microsoft SQL Server\90\Tools\Shell\mru.dat
For SQL 2008:
C:\Documents and Settings\<USER>\Application Data\Microsoft\Microsoft SQL Server\100\Tools\Shell\SqlStudio.bin
So...
Source: https://serverfault.com/questions/278582/ssms-where-does-sql-server-store-its-server-names