Others have had this or similar problems, too. (here, here, and here.)
I have a guess about why mine disappear. I use a dual monitor setup at work. Sometimes I need a second instance of Excel running, so that I can compare files using both displays. So, after opening one Excel file, I click on the Start Menu and type "Excel" to start a second instance.
When the second Excel instance starts, I get a "File in Use" messagebox. It says:
"PERSONAL.XLSB is locked for editing
by %Username%.
Open 'Read-Only or click 'Notify' to open read-only and receive notification when the document is no longer in use.The buttons give me the options of Read Only, Notify, or Cancel.
I've not gone through and documented each case, but I can replicate the problem where it will delete the "Pinned" items and only the last files I was using show up in the "Recent" list. All it takes is opening the second instance of Excel and then closing them in a certain order. It may also require that changes be made and saved to one or both files. I don't have a fix yet, but at least I know how to avoid the problem.
This does not affect the files that are pinned inside the Excel application under File | Recent. In fact, that is where I go to recover my Jump List pins. I scan the list and open the files I want to re-pin.
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