You must have heard about New Internet Explorer 8 or Google Chrome Browser and Private browsing mode they offer. Both of these browser have Private browsing mode (also called anonymous browsing). After reading about this you must be thinking you finally have some inbuilt tool but are they really providing same thing what you thinking ? I believe this term is misleading as it is something different than what private browsing really means.
I am not saying what they say is incorrect but you must understand correctly what and how this mode works, and what privacy will you get with these modes. The privacy mode offered by these or any other browser is not making you anonymous for private browsing which will not tell web server about you, But it will not leave any traces of your browsing history on the computer you using.