Privacy features such as InPrivate browsing in Internet Explorer 8 and similar features in Chrome and Firefox promise to protect your privacy by not keeping track of page history, temporary files and cookies. This may be enough to hide your tracks from a beginner computer user but there are still traces of what sites you visit within the local DNS cache. An advanced user can run the ipconfig /displaydns command to view the most recent sites visited.
For example, when you start InPrivate browsing in Internet Explorer and visit Bing.com.
The DNS Cache shows where you have been.
The best way to improve the privacy of your InPrivate browsing sessions is to also clear the local DNS cache after closing the browser. Open up an administrative level command prompt and typeipconfig /flushdns and hit Enter.