This is a tricky thing to set up because you have to make a setting change and then hit delete to keep the setting. Once you set the option, you should be ok.
The other tricky thing is that it works off entires in your favorites. Data for everything you put in your favorites will be preserved. I only want certain sites data to be preserved, not every article I bookmark.
It get complicated to work around that, but there is a workaround.
Before I go into that, is this what you mean by "Is there a way to filter certain sites to keep in Internet history even when I delete it?"
When you hit that delete key in IE, you want to keep some things. - am I close to the mark?
Try this:
(it will delete everything ticked, so be sure you want to go ahead with it)
(It will only Preserve data for websites that also are in your favorites folder)
Interenet Options -> General tab
Delete... button
Tick the topmost option: Preserve favorites website data
Delete