InPrivate Browsing

You can start InPrivate Browsing from the Safety menu, by pressing Ctrl+Shift+P, or from the New Tab page. Internet Explorer will launch a new browser session that won’t keep any information about webpages you visit or searches you perform. Closing the browser window will end your InPrivate Browsing session.

http://windows.microsoft.com/en-US/internet-explorer/products/ie-9/features/in-private