Its common for any of a number of security/privacy apps to clear your temp and history files, but if thats not what's happening in your case, I'd suspect a corrupted Temporary Internet Files and/or History folder under your username - it happens. A lot. Gee, thanks, Microsoft
You might wanna try this:
Close all instances of Internet Explorer and Outlook/Outlook Express. With neither Internet Explorer nor Outlook/Outlook Express running, no browsers or windows open, go to Start>Control Panel>Internet Options>General tab. In the second panel, click the "Delete Files" button, then place a check to "Delete all offline content" in the little box that pops up, and click "OK" in that smaller box to confirm. Next, still in the second panel of the "General" tab, click the "Settings" button, and under "Temporary Internet files folders", set "Amount of disk space to use" to something between 20 and 50 MB (Windows generally alots up to 10% of drive space by default - a holdover from the days of tiny hard drives and slower machines), and click OK in that box. I get along just fine with a 20MB cache.
Next, still in the "Internet Options" Control Panel, click the last tab, "Advanced", and be sure under "Browsing" that "Use Inline AutoComplete" is selected. Under "Search from the Address bar" make sure "Do not search from the Address bar" is
not selected (as for the other options there its your choice; once we get your Address Bar URL dropdown history back, if you wish you can play with the Address Bar options a bit to see which behavior you like best). Click "OK" to commit the setting changes and exit the Internet Options Control Panel.
Now it gets a little tricky, but bear with me. Log off Windows - don't just "Switch Users", log off, quit Windows. Log back on as Administrator or as another user who is in the Administrator Group. If there isn't one, create a user with Administrator privileges for this set of steps, then delete it when we're done.
As the new user, open Explorer - not Internet Explorer, just Explorer. To do that, hold down the "Windows" key and press "E", or go to Start>Run, and type (without the quotes): "explorer.exe" then either click "OK" or hit ENTER. Explorer will open.
Up in Explorer's toolbar, select Tools>Folder Options>View tab. Under "Hidden files and folders", select "Show hidden files and folders" and de-select "Hide protected operating system files (Recommended)", confirm, then in the upper panel, click the "Apply to All Folders" button, then click "OK" to exit the Folder Options Control Panel.
Now, while still in Explorer, navigate to
C:\Documents and Settings\ <your username> \Local Settings\, and locate the folders
Temporary Internet Files and
History, and delete them.
Reboot normally, log on as you usually do, under your username, and Windows will recreate the deleted folders under your username - they'll be empty, of course, but they should be functioning. Once again, with neither Internet Explorer nor Outlook/Outlook Express running, no browsers or windows open, go to Start>Control Panel>Internet Options>Content tab. There, in the 3rd panel, click the "Auto Complete" button, and make sure that under "Use AutoComplete for" there's a check in the box next to "Web Addresses". Being lazy, I have all 4 boxes checked - your call. Click "OK" to save the setting,and click "OK" again to exit the Internet Options Control Panel.
While the folders all will need to be repopulated - they're starting off fresh, remember - they should work fine from that point on, at least untill Windows gets playful again.
Here's an article you might find useful:
Microsoft:
How to use the AutoComplete Feature in Internet Explorer 5 and 6