There is no application called "Adobe" - because you are posting here in the Adobe Acrobat User Community, I assume you are either using Adobe Acrobat or the free Adobe Reader. Neither can delete files, you would delete the files using your operating system's functionality. If you are however referring to the "Last recently used" list that both applications offer, and you want to remove a file from that list, then we are talking about a different issue.
You still cannot delete one entry in this list at a time, but you can clear the whole list and then have it start from scratch. You do this by opening up Acrobat's or Reader's preferences, then go to the "Documents" category and adjust the "Documents in recently used list" to 0 (or 1 if you have an older version of Acrobat or Reader). This will clear the list (or leave one item remaining). You can then set it again to whatever numberer of files you want to keep in that list.
Karl Heinz Kremer
PDF Acrobatics Without a Net
PDF Software Development, Training and More...
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