What "Window" are you talking about?
If it is the "Recent Files" menu, then there is no easy way to remove a filename from that list.
You may be able to clear some Temp files, but it could remove more than you want.
As you open and save more Excel files, the names will move down and eventually off the list. You can change the number of "Recent" file names that display in Excel Options. A smaller number will have the file move down the list quicker.