if you are concerned, use the InPrivate Browsing mode of internert explorer 8.
InPrivate Browsing helps prevent Internet Explorer from storing data about your browsing session. This includes cookies, temporary Internet files, history, and other data. Toolbars and extensions are disabled by default. See Help for more information.
or maybe you use another browser?
chrome has the 'incognito' mode, and i'm sure firefox has something similar.