This information, as well as infromation about all sites you visit, is stored in temporary files and cookies on your computer.

The simplest option is to go to tools->internet options in IE and click the buttons "delete cookies" and "delete files." Then use the "settings" button to limit how much data you want stored. You can also erase the list of websites you visited by clicking "clear history."

To do this manually, go to:
DRIVE:\Documents and Settings\USERNAME\Local Settings\Temporary Internet Files
DRIVE:\Documents and Settings\USERNAME\Cookies
DRIVE:\Documents and Settings\USERNAME\Local Settings\History
and delete all the contents.

The third option is to download a program like CCleaner, which will delete all old/unnecessary files on your computer, not just internet-related.

Note: If you have saved passwords for certain sites, make sure you do not delete their respective files. Also, it may take longer for websites to load if you have a slow internet connection...cookies help speed the process of loading sites on successive visits.

You may also want to consider downloading RegCleaner to perform similar actions on your system registry.

Hope this helps,
John