Taken from Microsoft website,
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.
Enable InPrivate Browsing
Open your Internet Explorer and click on Tools (ALT + X). Then, go to Safety > InPrivate Browsing (CTRL + SHIFT + P).
You will see below page notification once the InPrivate Browsing session is activated. You can start surfing in safely now.
Turn Off / Disable InPrivate Browsing
You can turn off the InPrivate Browsing by just quitting the Internet Explorer. If you want disable this function, do the following steps, go to Tools > Internet Options. Jump to Privacy and deselect the check box of InPrivate – Disable toolbars and extensions when InPrivate Browsing starts.