Data about sites you have visited is stored in many locations - the registry holds some of it (especially in a MRU list called "Typed URLs") but the biggest treasure-trove is in the index.dat files (just search Google for "IE index.dat" or even just "index.dat" and I'm sure you'll be able to find tons of information). Basically, they aren't cleaned even if you use Internet Explorer's built-in Temporary Internet File and History cleaning functions, and they will contain information on visited sites.
MRU-Blaster (click here) can clean tens of thousands of MRU lists (which store such information on your computer), helping to protect your privacy. It can also delete those pesky index.dat files (which are locked during normal Windows use) using a secure deletion method.
There are also many other non-text files that contain MRU's which, even if deleted, can still be recoverd from your hard-drive by experts.
Why PC manufacturers need to include all these MRU history files is a mystery!