InPrivate Filtering is turned off at the start of each Internet Explorer session, regardless of whether it was on or off when you last closed the browser. If you want to use it always, you need to turn it on each time you start your browser (the keyboard shortcut is Ctrl+Shift+F).
However, you can tweak the registry to keep the InPrivate Filtering feature on at all times by default. Open Registry Editor, navigate to HKCU\Software\Microsoft\Internet Explorer\Safety\PrivacIE, add the DWORD value StartMode (if it doesn’t already exist), and set its value to 1. Internet Explorer will now retain and apply whatever decisions you made in the InPrivate Filtering Settings dialog box.