I think it's part of AutoComplete.
To remove those records, try this. Right click the taskbar underneath the desktop, Properties, Advanced tab, and click the "Clear" button. This will clear other records as well, but over time, it will happen again.
If you want to stop this drop-down list behaviour, right click the Internet Explorer icon on the desktop, Properties, Content tab, click AutoComplete, then untick the box for "Web addresses". Click OK, OK.
You can also choose a less intrusive form of AutoComplete. After doing the above step, open Internet Explorer Properties again, select the Advanced tab, in the Browsing section, there's an option to "Use Inline AutoComplete". Tick it, and click OK. This way, the things you enter will still be remembered, but you won't get the drop down list, but the closest match will appear in the box itself as you type along.
Although the options are contained in Internet Explorer, they apply to Windows generally (or at least Windows Explorer), as the two are integrated.