Robert McLaws has written a simple but useful tool (called Remote
Desktop Assistant) that helps you to manage your Remote Desktop
connections.
Actually, removing entries from the Remote Desktop computer box in the
Windows Remote Desktop Connection client is not so simple and requires a
registry manual modification. With this little tool all is automatic... 
A little consideration: sometimes it's really curious to see how things so
easy to do are forgotten by Microsoft developers. I hope that on the future
someone will spend 20 minutes of his time to add this feature on the Remote
Desktop client program.