My job computer runs Windows XP.
And yes, the MRU/cache function is what I'm looking for.
At one occasion I hoped for Direct Folders to be an option, but as far as I remember, it had to be installed which I didn't have the privilege for. At my previous job I sometimes used Folder Guide. However, these two applications only deal with folders. The thing with RecentX is that it handles files, folders, programs, as well as URLs.
For a file, you can select/click it in the same way you do in Windows Explorer to open it with the associated program. That's enough, as far as I'm concerned, and what I need.