The websites you have visited are listed in your Address bar in Internet Explorer. They are also listed if you click the history button on your web browser. So if someone happens to be at your computer snooping around, they will know all the websites that you have visited.
To clear the URL history list, follow these instructions:
Open up Internet Explorer
Click on Tools
Click on Internet Options
On the top, make sure the General Tab is selected
Under History, click the "Clear History" button.
Click "OK" to finish
You can also do this by going to:
Start
Control Panel
Network and Internet Connections
Internet Options
By following these steps you will have deleted your history and also the history in the address bar. A good tool if you don't want people to know the websites you have visited.