Have you ever wanted to take your web browsing “off the record”? Perhaps you’re using someone else’s computer and you don’t want them to know which sites you visited. Maybe you need to buy a gift for a loved one without ruining the surprise. Maybe you’re at an Internet kiosk and don’t want the next person using it to know at which website you bank.
What if you want to delete your browsing history after the fact, but you don’t want to lose your preferences at websites that you use frequently?

With respect to privacy, IE8 gives users more choice about controlling what information they keep and exchange.

InPrivate Browsing

If you are using a shared PC, a borrowed laptop from a friend, or a public PC, sometimes you don’t want other people to know where you’ve been on the web. Internet Explorer 8’s InPrivate Browsing makes that “over the shoulder” privacy easy by not storing history, cookies, temporary Internet files, or other data.

Using InPrivate Browsing is as easy as launching a new InPrivate Browsing window. When you’re done, just close the window and IE will take care of the rest.

Source- IE Blog