Internet Explorer keeps a history of all the sites you have been just in case you want to go back to them at a later time. You can access them by clicking on your history button in your browser. If you don’t want people to know where you have been you can clear your history.
The easiest way to delete your history is to open Internet Explorer, go to Tools, and then Internet Options. The General tab should be displayed as shown in the image below. Then all you need to do is click on the Clear History button to erase where you have been. One thing to remember is if you have a Windows Explorer window open it may not clear the history.
You can also limit how much history is kept in your browser. Next to the Clear History button you will see a Days to keep pages in history section. You can change how many days the history is kept by changing this value

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Internet Explorer 7 Overview
Making Internet Explorer Your Default Web Browser
Importing and Exporting Internet Explorer Favorites
Change Your Internet Explorer Home Page