once you connect to the sqlserver , the server details are maintained as a history and the next time you want to connect to the server you get a dropdown to select from the previously connected servers.
Now if you want to delete this history, there is no GUI tool available for it.
The trick to delete this history is to delete the registry entries:
HKEY_CURRENT_USER\Software\Microsoft\Microsoft SQL Server\80\Tools\Client\PrefServers
clear the entries from prefservers.. this should work.
since it is a registry modification, do it on your own risk.