realplayer seems kinda limited.I don't think you can erase a file from the player.Did you download it from the web?If so find out where the file was saved on your computer (i.e. "My Downloads").
If you still can't find it,go under search from the start button on the desktop/search for temperary internet files.That should help you narrow down where the files are to be deleted from.
An idea: play more files until the ones you don't want seen are scrolled off. Go here and play some trailers in real format: http://www.movie-page.com/
Back when I was STUPID enough to use RealPlayer, I would just uninstall and reinstall the program; there is really no other easy way. Even Window Washer has a tough time with it.
Use the New Windows Media Player; it never stores them for you..