On the WinVistaClub forums, a member posted a handy tip for creating a custom IE8 Toolbar button and context menu items that allow you to open pages and links in Internet Explorer 8’s new “In Private” mode. “In Private” mode is a new feature in IE8 that lets you control whether or not IE saves your browsing history, cookies, and other data. When you surf in this mode, IE8 won’t store cookies, won’t record history, won’t save form data, won’t save your passwords, won’t remember the addresses you typed in, won’t save visited links, and deletes all the temporary Internet files after closing the window. In other words, In Private allows you to surf anonymously and undetected. This is an especially useful feature for those times when you’re using a public or shared computer like a kiosk computer or internet cafe PC.
To add the custom button to your menu bar, download the contents of this zip file. The file contains 4 files: InP.ico, Private.htm, PrivateLink.htm and Registry.reg. You’ll want to unzip the contents to a new folder you create called “Tools” and located at C:\Program Files\Internet Explorer\Tools.
After extracting the files, double-click on the Registry.reg file. Then open IE and customize your toolbar to add the new In Private button.
If you want to customize this even further or install the button manually, you can view the detailed instructions here (PDF link).