Windows stores the list of the commands we execute from Run window. This can be seen by clicking on the drop down list in Run window.
This history of command is stored in a per user key in registry database. One can clear this command history by cleaning up the entries under this registry key.
This registry key is
HKEY_CURRENT_USER\Software\Microsoft\Windows\CurrentVersion\Explorer\RunMRU
So to cleanup command history we can simply run the below command from command prompt.
reg delete HKEY_CURRENT_USER\Software\Microsoft\Windows\CurrentVersion\Explorer\RunMRU /va /f
Note that after running the above command you would still be able to see history for the current login session. Once you logoff and login back you won't be able to see the history.