There are various bits of shareware around to do this, and IE has something similar in <Tools><Internet Options>. In both cases, it deletes everything on the machine at that time, and allows you to start with a clean sheet.
Probelm is that once its gone, its gone. Others may know of some forensic way to get it back. Best plan is to make sure that all your favourite sites are stored in <My Favorites> and to back this up to another device every so often.