Dean Hachamovitch on IE blog posted about online safety and privacy and specific information about InPrivate Filtering, a feature in IE8 "Some people are concerned about Adobe Flash's "super cookies" IE8's InPrivate browsing clears these as well with newer versions of Flash. As another example, InPrivate Browsing in IE8 "clears your tracks" and removes information from browser history when closed. During browsing, before you close, IE still records history (so back button continues to work) and cookies. Ultimately, people want the web to work and privacy protection."
"IE enables users to choose how privately they want to browse. Specifically, users can keep browsing information from going to sites they don't actually visit directly. IE determines potential tracking sites on the list based on sites you browse to directly and how those sites were written."
People concerned with tracking may be interested in how to use InPrivate Filtering in IE: 1. From Safety menu, choose "InPrivate Filtering." 2. Choose "Block for me" to turn on automatic filtering. Alternatively, you can choose "InPrivate Filtering Settings" from Safety menu to see a list of sites that're in position to track your browsing based on the sites you browse in IE.
More Info: detailed instructions