The InPrivate function means that Internet Explorer does not save information about your most recent web browser session. When InPrivate is enabled, no cookies, web addresses visited or search history are saved on the computer. The cache where web pages, images and sounds are stored temporarily is also cleared when the web browser is closed.
Many experienced computer users already know how to remove traces of browsing on a computer. But this often requires a lot of work and it can be easy to forget the odd detail.
In Internet Explorer 8 this is done automatically when this function is enabled.