Stop MS Word opening files automatically on launch
Clear the saved state, rather than the history.
Quit Word.

From Finder
 Cmd ⌘   N 
 Cmd ⌘   Shift ⇧     G  
Copy/paste ~/Library/Saved Application State

Delete the folder com.microsoft.Word.savedState

Relaunch Word.

For future reference, whatever is open when you quit will reopen when you launch. The trick is to close documents before quitting.

You can stop all applications from remembering their state using System Prefs > General > Close Windows when quitting an app.

Alternatively, there's a $0.99 app called RestoreMeNot which can switch on a per-app basis.