We have a Dell laptop running Windows XP, SP3 and Internet Explorer 8. The previous URLs visited keep disappearing after going to another website. I checked Tools/Internet Options/Browsing History and "Delete browsing history on exit" is not checked, so I don't know what is causing this.

We have another Dell laptop running the same IE8 and that doesn't happen.

Are you sure you do not have some other program running that clears tempory IE and Windows logs and history? Like for me I run a windows washer program that will clear my history every so often.

Also have you checked this:
Internet options | general tab | click on settings under browsing history and take a look at the bottom. You should see something about the number of days to keep history. If it is set to 0 than change it to like 30 or something.

I have the same problem. All settings are fine. I still have my older history - before upgrading from IE7 to IE8. But after the upgrade - history is not beeing saved anymore....

I solved the problem. The hard drive got corrupted and I couldn't boot the computer. So Dell sent a replacement hard drive and the CD to restore Windows XP and it included IE7. I will stick with that version for now.