Proported as an excellent method of ‘covering your tracks’, this program might well work for this purpose, however, I prefer to have this running to keep my system’s performance at it’s peak.
How does it work? Every time you exit I.E., or NS, It deletes all cookies, all temp internet files, even rehashes your index.dat file.
It’s got a slew of other features as well, popup killer, as well as options for disabling portions of the history kill process.
The software is good for a 30 day trial, but overall, i’d recommend it!
You can find History Kill at http://www.historykill.com