Your browser and the websites you visit work together to remember everything about your surfing, shopping, and online activities. This allows browsers to offer a broad range of convenient features, like bookmarking your favorite sites or finding a webpage from your history. Sometimes you may want to browse the Internet without leaving a history of the pages you visit for someone else using your computer to see, and that’s what Private or Incognito mode is for. For example, you may want to use a private or incognito mode if you are shopping for a gift for someone who uses the same computer. Otherwise, the following user might see your search and browsing history and spoil your surprise!
You can easily open a Private/Incognito window from a normal browser window.
You may also be able to right-click on the browser button in the Start menu or taskbar and open a private window from there.
The privacy options for the three most popular browsers are shown below (from left to right, Edge, Firefox, and Chrome).

The major browsers are built with convenience and marketing in mind. Some browsers are built primarily for privacy. These include Brave, Avast, Opera, and Tor, to name a few.