Internet Explorer remembers visited web pages, searches, cookies (small files that websites store to keep your preferences or track your behavior), user names on forms (for some careless people passwords, too!) and it saves displayed images in a special Temporary Internet Files folder to make loading them faster the next time you visit the page (this is also called caching or cache).
This all might be convenient on your own computer at all times, but what if you are on your friend's computer or a public computer and you need to check your webmail account or read company mail? Are you sure that your user name and password will not be remembered? What if you want to visit some web sites or execute some searches that you do not want to be seen in browsing history later?
Here come InPrivate Browsing, Tracking Protection and deleting Browsing History. 
Using InPrivate Browsing
InPrivate Browsing allows visiting web sites with ease of mind - no trace will be retained about visited sites, entered user names or passwords and executed searches. Some humorous people call this the "Porn Mode". 
Yeah, funny, but you actually need InPrivate Browsing when you are at an Internet Café or someone else's computer. Well, they need to have Internet Explorer 9 installed, too.
To start InPrivate Browsing, press Ctrl+Shift+P on your keyboard or open Tools, click Safety and click InPrivate Browsing.
You can also right-click Internet Explorer icon on Taskbar and click Start InPrivate Browsing.
This will open a new window. Note the dark blue InPrivate text in Address Bar.
Keep in mind that InPrivate Browsing disables all third-party extensions and toolbars, such as WOT Safe Surfing Tool or Google Toolbar. This happens because Internet Explorer cannot delete information saved by third-party extensions and toolbars after you close your InPrivate Browsing window, therefore some information about where you have been might still be visible in browsing history.
You can now surf the Internet without having to worry about possible leaks of sensitive information.
To stop InPrivate Browsing, close Internet Explorer tabs and windows.
Using Tracking Protection and ActiveX Filtering
Tracking Protection allows Internet Explorer 9 to tell websites not to track the current user. It can also be used for fully automatic blocking of advertising and tracking technologies that try to spy on users' behavior.
While you can configure Tracking Protection manually, I strongly suggest to leave the job for highly experienced proffessionals. You can add pre-configured Tracking Protection lists to Internet Explorer 9 at this Microsoft website. Click the Add TPL link for one or more TPL (Tracking Protection List) provider(s).
Click Add List. The list will then be automatically updated every week.
After this you might notice the Protection indicator on most websites. This shows that Tracking Protection is doing its job safeguarding your privacy on the Internet.
Managing Tracking Protection Lists
To enable, disable or remove Tracking Protection Lists, use keyboard shortcut Alt+X to open Tools menu. Then click Safety and select Tracking Protection...:
Manage Add-ons window opens. Select a Tracking Protection List by clicking on it once. Click Disable to turn the list off. Click Enable to turn a disabled list back on. Click Remove to permanently delete the list from Internet Explorer 9.
To turn Tracking Protection completely off, remove or disable all Tracking Protection Lists.
Click Close after making changes.
As said before, using Your Personalized List for Tracking Protection is not a good idea. Basically, you must either add technical details manually or let Tracking Protection work automatically.
The latter might sound good, but while you can configure how quickly automatic protection starts blocking items on web pages, you will end up blocking useful items sooner or later. The first elements to disappear are Facebook and Twitter widgets (Like buttons, retweet counts, etc). In the end your list might be blocking really important data and make your whole web experience totally useless.
Using ActiveX Filtering
ActiveX Filtering is an option to turn off all ActiveX add-ons/plugins. For example, this will disable Adobe Flash Player, Apple QuickTime and Windows Media Player add-ons and you will be unable to see any videos on the Internet. Also, opening PDF files using Adobe Reader will not work.
This does not seem a good idea until you need to troubleshoot Internet Explorer or be absolutely sure that some malicious script will not try to infect your computer. ActiveX Filtering is a welcome addition to InPrivate Browsing or staying safe on a suspicious website.
To turn ActiveX Filtering on, open Tools menu, click Safety and select ActiveX Filtering. If a check mark is displayed to the left of ActiveX Filtering, the feature is turned on.
ActiveX Filtering will remain enabled even if you close Internet Explorer and reopen it. To turn it off, repeat the process above.
Some content on many web pages will not load or display correctly while ActiveX Filtering is enabled:
Deleting Browsing History
Sometimes it is best to delete all browsing history, user names and passwords, search history and items in Temporary Internet Files Folder. This has long been possible in Internet Explorer, but until Internet Explorer 7 this option was not too easy to find.
Internet Explorer 9 enhances Browsing History deletion by letting you keep data related to the web sites in your Favorites Center or Favorites Bar while deleting everything related to other sites.
To do that, press Ctrl+Shit+Del on your keyboard or open Tools menu, click Safety and click Delete Browsing History....
By default, Internet Explorer 9 keeps information related to your Favorites and deletes all Temporary Internet Files, Cookies and History. If this is fine with you, click Delete.
In case you want to delete absolutely everything, deselect Preserve Favorites website data and select Download History, Form data and Passwords - keep only the first and last options deselected. Then click Delete button.
It is generally not recommended to delete ActiveX Filtering and Tracking Protection data unless either one of these or both seem to cause trouble. At least try turning both off first using appropriate commands in Tools, Safety menu.
And last, but not least: do not forget to check the Securing Internet Explorer article for more privacy and security tips!
