Xenu works with a text file stored on your computer, called Xenu.ini. It should be in the same directory as your xenu.exe program is located. Xenu generates this file as soon as you start using the program.
The purpose of this file is to "remember" settings you used in the past when checking a URL. For example, the levels you set, if you requested a report per page or per link, did you check for external links or not? etc.
This is how the content of the xenu.ini file looks like (at least on my computer):
You can find more information about your Xenu settings, for example the width of the columns in your link report:
URLs you have spidered recently are stored in:
[Recent URL List]
Normally, you don't need to work with this .ini file, it is just there for your convenience. But it is good to know something about it!