Windows 7 has introduced a new way to navigate through the files stored on your computer. Jump lists, the replacement for Windows XP's recent documents, allow you to easily locate and open your files, no more opening excessive amounts of windows, you can peruse your files right from the start menu.
Files are organized by program/application, just click to open the desired file.
You can open another window of a program/application, just right click then open to open another window.
Ability to close all windows of an open program.
Pin your favorite items to jump list, change order and unpin from jump list.
Here are additional tutorials on how you can use jump lists in Windows 7:
Working with Jump lists - a detailed view
Jump List Tutorial