If you want an MRU list in your vim window for Windows/Linux (which is very useful, trust me!) then simply follow the instructions you'll find here to install a really useful Vim plug-in:
mru.vim : Plugin to manage Most Recently Used (MRU) files
This works very well with with the vims I've tried it on so far, which are gvim and cygwin vim on Windows, console-based vim and gvim on Linux, as well as console vim and MacVim on the Mac.
Even though an MRU system of sorts is already built-in to MacVim, I still recommend using this vim plug-in as it also works very well with MacVim.