IE 9 will include tracking protection
Growing awareness of privacy issues has users concerned about web sites that track their web browsing activity across sessions. In some cases, this is desirable and provides conveniences the user wants. In others, it's an unwanted intrusion. Microsoft is designing Internet Explorer 9 to allow users to have more control over this, using a Tracking Protection List (TPL) to specify which third-party page elements (ads, widgets, etc.) can and can't be blocked, thus limiting the information that sites can collect.
Find out more about how it works here: