delete the history on windows media player, or whatever player you used,
run system restore to an earlier time, like yesterday,
download and run CCLEANER,
If you never copied it over a search won't help, As ganzey said, What you want to do is delete all history of it.
So, Delete this history of your media player. ( VLC )
Then download and run CCleaner. ( It will clean up your history )
If you can't do this because you don't have admin privileges, Have you deleted recent documents?
And I do not use VLC so I cannot be off assistance