I have seen many people ask for ways to delete entries from SSMS' "Connect to Server" server name list. The short and official answer is, you can't. There is an unofficial answer, though.
Right now you have an all-or-nothing approach. In SQL Server 2005, you can shut down SSMS, delete the file mru.dat, and restart SSMS. For SQL Server 2008, you need to find the file SqlStudio.bin, and do the same thing. The next time you open SSMS, the list should be empty.
My biggest concern is that this method is not documented (and therefore not supported), and it is unclear what other settings you might lose when doing so.
I tried looking at SqlStudio.bin with a hex editor, and it's clear that while we can see the entries, we aren't meant to modify them:
In turn, I have posted a suggestion to Microsoft via Connect, asking them to expose the MRU list to us and make it easier to manage: