Howto disable the Reopen Last Browsing Session Feature in IE8

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You can disable the feature Reopen Last Browsing Session Feature in IE8 by two ways. First by using the Registry Editor and by Using the Group Policy Editor.
Method 1
1). Disabling the Reopen Last Browsing Session Feature by using the Registry Editor :

Click Start > Run > Type Regedit.exe and navigate through the following branch:
HKEY_CURRENT_USER Software Policies Microsoft Internet Explorer Recovery

* You need to make the recovery key manually.

Make a new DWORD value and name it NoReopenLastSession

Open NoReopenLastSession and set its value data to 1

Close the Registry Editor.

Method 2

2). Disabling the Reopen Last Browsing Session Feature by using the Group Policy Editor

Click Start > Run > Type gpedit.msc and go to:

User Configuration | Administrative Templates | Windows Components | Internet Explorer

Enable the Turn off tab of Reopen Last Browsing Session

Close the the Group Policy Editor.

Or
strong>Method 3

Simply download this file and run and if you want to restore back these setting run this file.

Method 4

Using CCcleaner

You can use CCcleaner to clear the history of your Last Browsing Session.
Dowload it by clicking on above link.
After do the following :
Go in Control Panel > Folder Options.
In the tab view select Show hidden files and folders. And OK.
Double click on CCleaner and on the left side of the window select the option button.
Click Include > Add Folder.
Select the following folder for Vista -
C: Users {username} AppData Local Microsoft Internet Explorer Recovery Last Active
Select the following folder for Windows XP -
C: Documents and Settings {username} Local Settings Application Data Microsoft Internet Explorer Recovery Last Active
When you are done by adding the custom folder to be cleaned in the Options screen,
Under the Windows Tab select Custom Files and Folder and then select Advanced.
Check the box of Old Prefetch data and Custom files and folder
Once you are done your the history of the previous session will cleared everytime when you will run the tool.

 Source for this article from here