This is not really an issue for Word or even Office. However, the simple
way to do this in Internet Explorer is to go to Tools, Internet Options and
click Delete History. Click Yes and your privacy will be intact (except
maybe to an IT professional). There is a similar feature in Netscape, but
it varies considerably depending on the version. I expect other browsers
have a similar feature. I have no experience with other software that is
supposed to eliminate any record of your internet browsing, but this might
be another option.
I think most of the major antivirus outfits have something of this sort in
there offerings (Norton, McAfee, etc.)
But a caution: If you are using a computer on a corporate network these
suggestions might protect you from the next guy seeing where you were
browing but it probably will not protect you from the IT people. Many
companies are now using security software that, among other things, allows
an administrator to monitor and keep a history of what each user is doing on
the network. If you are doing stuff they consider improper you risk some
serious consequences. And the law is on their side for lots of reasons, not
the least of which are (a) it is their computer/system and (b) they are
paying their people to work, not play. A word to the wise . . .