Tools > Internet Options > Delete Browsing History and choose what you wish to delete.

If your using Firefox just go to Tools and click "Clear Private Data". If your not using Firefox I recommend getting it (you can even set it up so it clears the cache every time you close the browser!).

Another way to clear the history is to use CCleaner. CCleaner is a freeware system optimization and privacy tool. It cleans traces of your online activities and fixes your registry.