First of all, if the filename of the file you are playing has funky characters, MPC-Support might not work for these files.
All you need to do is, to make sure the option
Note: These settings applies to both MPC and MPC:HC ( Media Player Classic Home Cinema )
- Store settings to .ini file - is DISABLED
- Keep history of recently opened files - is ENABLED
Check the screenshot to see where to find these:
