Hello Templar,
While you are surfing using InPrivate Browsing, Internet Explorer stores some information, such as cookies and temporary Internet files, so that the webpages you visit will work correctly. However, at the end of your InPrivate Browsing session, this information is discarded.
The tutorial below can give you more details about all of this though.
Internet Explorer InPrivate Browsing - Turn On
Hope this helps,

Shawn