Navigate the the location below in your registry and make the corresponding change.

Listed under this key are all the shares Windows has stored for the current user, simply delete the entries you don't want to store. Or add new ones by adding a new string value, and name it by incrementing the alpha values already in the list. Set the data to the drive share you wish to add. 

To change the defaults for all users modify [HKEY_USERS\.DEFAULT\Software\Microsoft\Windows NT\CurrentVersion\Network\Persistent Connections] instead. 

Key:[HKEY_CURRENT_USER\Software\Microsoft\Windows NT\CurrentVersion\Network\Persistent Connections]