The Recent / Favourites window is brought up using the "File > Recent / Favourites" menu item, the button on the toolbar, or the F2 key. It provides you with a way to quickly open files you have recently been working on, or ones which you have previously marked as favourites.
There are two panels in the window. The upper panel lists the ten most recently used files. The lower lists favourite files. To open any one file, double click on it. To select more than one at a time:
... then click the "Open" button to open them all.
The lower panel has a popup menu accessed using the right mouse button. The "Remove from favourites" item removes any selected files from the list. The "Clear favourites list" empties the panel entirely. Neither of these operations delete the files themselves, just the lines in the Favourites list.
Files are added to the Favourites list by using the "File > Add to Favourites" menu item or the Ctrl+F2 keyboard shortcut.