http://www.itworld.com/internet/54575/privacy-feature-internet-explorer-8-leaks-private-data
Key parts of the article (bold emphasis mine):
"The privacy option in this beta is mainly cosmetic. For a forensic investigator, retrieving the browsing history should be regarded as peanuts," said Christian Prickaerts, forensic IT expert with Fox IT.
"The remaining records in the history file still enable me to deduce which websites have been visited," said Prickaerts.Even more data is stored in the browser's cache, a feature [which stores] a copy of recently accessed information on a user's hard disk. InPrivate Browsing failed to disable this feature.
The shortcomings in InPrivate Browsing put the level of privacy protection in Internet Explorer 8 on a par with Firefox 2 and 3.
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So, IE8's hyped "privacy feature" doesn't offer more protection than Firefox 2 did, a browser released in 2006. The easiest way to remain private on the internet is still to disable cache and history, disable all scripts and plugins like Java/Flash, use Tor to hide the source of your traffic and use digital-signature-verified encryption on as many connections as possible. Anything less than that exposes you to possible malicious or unwanted collection of your data.
If you add this to the fact that IE8's rendering engine is also broken and its memory and processor use is far higher than Firefox, it seems IE8 will not be a revolution in Microsoft's browser history.
EDIT: Since they plan to release in 2008, they've got to fix a severely broken rendering engine, the memory leaks, the performance issues on older (i.e. most) machines and the privacy issues in less than four months. That's not going to happen.