JAV - are you quite sure you haven't got a little 'clean-up' utility working away in the background? Something like Window Washer or Internet Clean-Up can be configured to run each time you close your browser etc. or close your computer and they will wipe out all trace of your previous browsing experience!
The two I mention are fairly obvious but there are a few unobtrusive ones, (often coupled with other mainstream software), that will do a similar job. Just a thought.