The Delete Browsing History dialog should now be displayed, overlaying your browser window. A really great feature in IE9 is the ability to preserve stored data from your favorite sites whenever you delete your browsing history. This lets you keep any cache files or cookies used by sites in your Favorites to, as IE Program Manager Andy Zeigler puts it, avoid having your favorite sites "forget you".
To ensure that this data is not deleted, a check mark must be placed next to the Preserve Favorites website data option. This option is highlighted in the screenshot above.