Any version of Internet Explorer stores your history of websites visited - it helps to find one again if you've forgotten.
You can vary the amount of time the history is retained by going to Tools>Internet Options and configuring whatever you require in the last of the three sections (i.e. History).
There's nothing sinister in it as you seem to be implying and certainly the only way that XP, or any other Windows version, does so is in the way that you have IE configured.
Conspiracy stories about Microsoft have been doing the rounds for years.....