There are some simple ways of going into into InPrivate Browsing in Internet Explorer 9: the keyboard shortcut, from the “Tools” icon, from your taskbar, or you can create your own shortcut.

1. Keyboard Shortcut (ctrl+shift+p). When you're in Internet Explorer, for InPrivate Browsing just press: CTRL+SHIFT+P

2. InPrivate from Tools On the top right of the browser is a gears icon, “Tools”, select it the choose “Safety” then click on “InPrivate Browsing”.

3. From the taskbar. Right click on any Internet Explorer icon in your taskbar and select “Start InPrivate Browsing”. This will open a new browser window where you can browse privately.

4. Create a custom shortcut: Right click on the desktop, then select "New" then "shortcut". Then browse for where your internet explorer is located. Should be... My Computer > Local Disk C (the one with the windows logo i.e running OS) >Program Files>Internet Explorer> then select iexplore. It should then bring you : "C:\Program Files\Internet Explorer\iexplore.exe" in the search box add an -private i.e ("C:\Program Files\Internet Explorer\iexplore.exe" -private) Then click Next, and OK, and you have your InPrivate Shortcut.

Source

The original content came from Kristain Hayes in this forum thread.