You're talking about a feature called AutoComplete in Internet Explorer. It's supposed to make typing faster, but there are definite privacy concerns if other people use your computer. You can disable it by following these steps:
1. Open the Tools menu and click Internet Options.
2. Click the Content tab.
3. Click AutoComplete.
4. Deselect the appropriate AutoComplete check boxes.
5. Click OK twice.
This was first published in August 2003