IE9 Tracking Protection to bring better privacy controls to users
Microsoft believes Tracking Protection will "enable consumers to control what third-party site content can track them when they're online." The feature will work in conjunction with Tracking Protection Lists, which allows users to maintain a list of sites with which they want to share their data.
Tracking Protection will be opt-in, so it's entirely likely that the vast majority of Internet users will never even notice the option exists. The official IE blog post also notes that there's no clear-cut definition of what tracking is, so the feature will be a bit of a moving target.
Still, kudos to Microsoft for making strides towards providing users with greater control over their privacy. If you recall, the company tried to do something similar with Internet Explorer 8's InPrivate feature, but backed down due to external pressure.