Microsoft introduced a brand new feature in Internet Explorer 9 RC called “Tracking Protection” which is a new opt-in mechanism to identify and block many forms of undesired tracking while you are online.
How does it works?
Internet Explorer 9’s Tracking Protection maintains a list of web addresses known as Tracking Protection List(TPL) that enable users to control what third-party site content can track when they’re online. The browser will visit only if the user visits them directly by clicking on a link or typing their address when Tracking Protection is enabled.

Tracking Protection is a port of Do Not Call or Do Not Disturb service from Mobile phones to the web browser, however it complements many of the other approaches for browser controls of Do Not Track. TPL maintains both blocked and allowed web addresses in XML format available under a Creative Commons Attribution license and the Microsoft Open Specification Promise.

< ?xml version="1.0" encoding="UTF-8"?>


Tracking Protection List from ietestdrive.com 
< ![CDATA[msdn.com/.*.js]]>
< ![CDATA[strikestrike.com/.*.js]]>

Anyone can create their personalized TPLs and can manage them by adding or remove web addresses. To keep your experience up to date, IE9 automatically checks for updates to lists on a regular basis. You can add more than one TPLs and can set turned on as well. So it is a nice addition to Internet Explorer 9 RC and It is advised try it.

If you are not willing to create your own TPLs. Don’t worry! Few ready-made Tracking Protection Lists are being made available by Microsoft partners.