How do I clear the four sites listed in CRT's File menu?

For CRT 3.X and newer, you have to delete the file called "Recent File List.ini", found in CRT's Config directory.

Under Windows XP/2000, the default location is:
C:\Documents and Settings\<user>\Application Data\
VanDyke\CRT\Config\Recent File List.ini

Under Windows Me/98/NT/95, the default location is:
C:\Program Files\CRT\Config\Recent File List.ini

For CRT version 2.4 and earlier, you have to edit the registry. Use regedit to delete:

CURRENT_USER / Software / Van Dyke Technologies / CRT / Recent File List