How to Disable Restore Last Session in Internet Explorer 8
Internet Explorer comes with a feature that allows you to reopen your last browsing session on that particular browser. This can be a privacy issue for some who share the computer, since where they were surfing the Web can be seen by the next person who uses the computer. You can turn this feature off by using the Group Policy Editor on your computer.
Click the "Start" button. Type "gpedit.msc" in the search field and click the "Enter" key on your keyboard.
Scroll down to "User Configuration/Administrative Templates/Windows Components/Internet Explorer" in the folders in the left column.
Double-click "Turn off Reopen Last Browsing Session" in the main window. Click the radio button next to "Enabled."
Close the window and restart your Internet Explorer browser.