I'm hoping that Ethel can provide the answer to your problem because I use Firefox. The version of IE on my computer is IE5 which doesn't have the facility to automatically delete personal data, which Firefox does (and I'm guessing that later versions of IE also do). However, it might be worth looking under Tools > internet Options to try to find the right setting.
Alternatively, do what the vast majority of the 'regulars' around here did ages ago and ditch Internet Explorer. Nearly everyone around here uses either Firefox or Chrome. I strongly recommend giving Firefox a try:
http://www.mozilla.com/en-US/
Chris