okay, here are my 2 cents:
cent 1: Windows has the annoying habit of storing things all over the registry, if you search your registry for "history" or "urlhistory" you'll find quite a lot of entries refering to the history and url history. my advice is not to tamper with it, if you do: first backup your user.dat and system.dat files.
cent 2: are you behind a proxy? if your not accessing the internet directly trough your computer the server will save ALL of your inet explorer history, and there's no way for you (unless admin of the server) to delete it in a straight forward fashion.
hope it helped.