Towards the middle of the General Options window is a section labeled Browsing history. Within this section is a check box labeled Delete browsing history on exit, as highlighted in the screenshot above.
Disabled by default, this option ensures that IE9 deletes your history and other specified private data each time your browser is shut down. To specify which items are deleted on exit, click on the button labeled Settings.
The individual private data items are described in the subsequent steps of this tutorial.