You can set a registry key to prevent deletion of History via IE: http://www.winguides.com/registry/display.php/537/
The user will have to be on a restricted account, of course, to prevent them
from getting at the History folder otherwise. To really lock this down
you'll probably have to do the following using Group Policy or further
registry entries:
Disable the command prompt
Disable registry editing
Remove Run and Search from the Start menu
Remove the "Folder" Option from the Tools menu (with "Do not show System or
Hidden files" preset
Remove access to and disable the Settings option in the Start menu
Finally, have the BIOS of the machine set to boot to hard drive only,
preventing the use of a DOS or startup disk