He's probably using InPrivate browsing mode if it's IE8. It'll let you browse the net without storing any temorary internet files or adding anything to the history, and deletes all session cookies after the browser window is closed.
Either that or choosing the "Delete browsing history" option from the Safety menu.
You could work around the problem by disabling InPrivate browsing:
- Click on the start menu.
- Click "Run" if you have it. If not, skip this step.
- Type "gpedit.msc" into the run box, or into the search box if you don't have the run box enabled.
- Under Computer Configuration, expand Administrative Templates.
- Drill down to Windows Components > Internet Explorer > InPrivate
- Double click "Turn off InPrivate Filtering" and set to "Enabled". Click OK
- Double click "Turn off InPrivate Browsing" and set to "Enabled". Click OK.
- Close the window.
- Restart the computer.
It's worth noting that anyone logged on with a local administrator account can change this setting back, but only if they know how. If you don't want people changing settings willy nilly, give them an ordinary User account to use instead.
