Your browser save your private data !
Every time you launch your browser and do something on Internet, unless specifically configured, your favourite browser save private data.
It is most:
Something you eat.These are small test (some kbs) files stored in your computer. They can store custom parameters as language, but they can also store a session id that can identify you, wherever you are accessing internet from. What is more, if they are set by, for instance, a Advertisement server, as Google's, your cookie - therefore your "identity" - is communicated to the ads server. <em>Haven't you ever noticed that ads are usually related to some content you have seen beforehand, in another site ?
History: maybe the most well-known feature, the history just save... the pages you have visited. Try pressing Ctrl + H to see if you have any history !
Forms filled data: this is in fact the data stored whenever you have some kind of activated auto completion form.
These are the most important traces you leave on your browser
To delete, you can use specialised applications as CCleaner; I will talk later about them - I will show how to clean your traces without extra applications.
How to you delete traces ?
<em>You can also look for this option in the browser's menu; you may need to press Alt to show the menu.
Going further on privacy
You can of course find annoying to do this over and over again. So, you can do two things: in your browser's privacy options, look for the time before it clean history and cookies. Set it as low as possible or even disable storage. Modern browsers (Firefox 3.6+, Internet Explorer 7+ and Google Chrome) have a built-in "private navigation function". Look for it ! But be careful, because your temporary data won't be stored at all !