Did you download IE 8
It has a record of previous browsing sessions which you can restore, that is the usual banal feature now a days, but it has this powerful feature of in private browsing. No records, history et al would be cached in this mode.
So makes for some adventurous browsing habits, with out leaving any trace of it on the computer, also would be helpful if you want to do e-transactions online in that no cookies etc would be saved on your PC and hence stealing through a Trozan horse would become more difficult for the Hacker.
Also browsing is much faster in IE 8 comparable to Firefox 3.06, did not try downloading yet.