Yup I also get this. Don't think it's something that will be able to be disabled as it gives the option to go into "Private Browsing".
Had a quick look and couldn't find any settings for this.
"Private Browsing" allows pages to be opened, and IE will not keep any memory of the page, i.e. it won't appear as a drop-down URL, and no cookies will be saved. What I also like about IE8 is that if you type a URL incorrectly, you can remove the site from the URL drop-downs (or any other that you may not want to see again).
I've been using IE8 since about half-way through the Beta-2 release (after experiencing problems with IE7 crashing and/or freezing for no apparent reason), and I would not like to go back to IE6 or IE7. It does appear to have compatability problems with some sites, but there are compatability options that you can choose for these sites. A few sites that IE8 has issues with are notorious for having "dodgy" coding, like Ancestry.com, one of the biggest genealogy websites.