How do I delete unwanted movies from my saved list?

The list of recent project files is stored in the registry under the following key.
HKEY_CURRENT_USER\Software\Microsoft\Windows Live\Movie Maker\Recent

If you are comfortable with editing the registry, you can delete the contents under that key. But if you have any doubts about what you are doing, you should just leave the items in the list.

Start by typing 'regedit' in the search box of the Start menu.  Then expand each step as above.  Complete by right clicking 'Recent' and delete.

Alternatively pin WLMM to the start menu.  The projects are listed and can be deleted individually.

Alternatively pin WLMM to the start menu.  The projects are listed and can be deleted individually.

Note: The items pinned to the recent list on the Windows 7 start menu are *not* the same as the Recent projects list inside of WLMM. You can remove them from the start menu list, but that won't affect the recent items list inside the program.