I have just finished perusing this feature myself and reading the info the Windows help file about it and was surprised to learn that this is not anonymous surfing – in other words it does not hide your identity/location from the sites you visit like typical anonymous surfing does. Here is exactly what InPrivate browsing is not from the help file:
What InPrivate Browsing doesn’t do
While InPrivate Browsing keeps other people who might be using your computer from seeing what you visited on the web, it does not prevent someone on your network—such as a network administrator or hacker—from seeing where you went.
InPrivate Browsing does not necessarily provide you with anonymity on the Internet. That means that websites might be able to identify you through your web address, and anything you do or enter on a website can be recorded by that website.
InPrivate Browsing doesn’t clear any history or information that is stored on your computer about add-ons or browser extensions. If this is a problem, you might want to go into Add-on Manager and disable add-ons and extensions while using InPrivate Browsing.
Any favorites or feeds that you add while using InPrivate Browsing are not going to be removed when you close your InPrivate Browsing session. Changes to Internet Explorer settings, such as adding a new home page, are also retained after you close your InPrivate Browsing session.
I just get the feeling that many people will think this feature gives them full and true anonymous browsing and all it really does is keep anyone from looking on your computer for where you have been via cookies or IE history and keeping sites from re-using your specific visit information.
I mean these are good features for those concerned about leaving a trail locally – but it is not going to help with your online trail. User beware!