No, its not necessary to delete the recently used files. Just ignore that when bringing in a new file and click on Video File, or DVD/Blu Ray folder, depending on the source.
Once you click on Video File, it will jump you into the folder where your last source was, but you can navigate to a new one.
If you would prefer that VidCoder doesn't remember your last project, go to Tools-->Options-->Advanced, and take the check mark out of the box next to the line that says Remember previously used files and folders. Then click Ok.