All websites use Internet Information Service (IIS) logs that give information about each user's IP address, date, time, what they did (i.e. search queries or which links they clicked), etc... . The benefit for websites is they can track you, however, web browsers generally offer the option to not enable tracking and through other methods, you can delete IIS logs as well as tracking cookies.

If you're using Firefox, go to Firefox -> Options -> Options -> Privacy -> Tracking. Check off the box that says, "tell websites I do not want to be tracked". While you're there, you can also delete cookies and choose either "never remember history" or "custom history", whichever you prefer.

If you're using IE9, go to Tools -> Internet Options -> Privacy -> Advanced. Check off, "override automatic cookie handling" and select "block" for third party cookies (you can also do this for first-party ones if you feel the need). Depending on how you've set up your IE9 toolbar, Tools may be a gear cog.

If you're using Google Chrome, there's not much to do since they integrated this feature fairly well, however, if you want to be extra secure, download the add-on called Keep My Opt-Outs.

For your IIS logs, deleting them manually is more difficult as it depends on how they're stored. Instead, download CCleaner (or any other tool but this one is highly reputable and I use it). Simply select delete IIS logs, as well as anything else that you want. Keep in mind, these are only the logs on YOUR end, not on the server's end of a particular web page, however, it can affect the performance of a website that require authentication.