If you are using IE9 Beta and can't enable "InPrivate Filtering" permanently, this tutorial will help you.
InPrivate Filtering helps prevent website content providers from collecting information about sites you visit.
Many webpages use content—such as advertisements, maps, or web analysis tools—from websites other than the one you are visiting. These websites are called content providers or third-party websites. When you visit a website with third-party content, some information about you is sent to the content provider. If a content provider offers content to a large number of the websites you visit, the content provider could develop a profile of your browsing preferences. Profiles of browsing preferences can be used in a variety of ways, including for analysis and serving targeted advertisements.
InPrivate Filtering works by analyzing web content on the webpages you visit, and if it sees the same content being used on a number of websites, it will give you the option to allow or block that content. You can also choose to have InPrivate Filtering automatically block any content provider or third-party website it detects, or you can choose to turn off InPrivate Filtering.
You can enable "InPrivate Filtering" by pressing "Ctrl+Shift+F" keys together or you can enable it by going to "Tools -> Safety" menu.
But as soon as you close the browser, IE9 resets the "InPrivate Filtering" option to off.
Following is a small registry trick which will help you in enabling "InPrivate Filtering" Permanently in IE9:
1. Type regedit in RUN or Start menu search box and press Enter. It'll open Registry Editor.
2. Now go to following key:
3. In right-side pane, create a new DWORD value "FilteringMode" and set its value to 1
4. That's it. Now IE9 will remember your setting and will always keep "InPrivate Filtering" enabled.