Windows 8 is an operating system, which has nothing to do (directly) with storing web browsing history. Given that you've not mentioned installing any other browser, I assume that you're referring to Internet Explorer 10.
Click on the Gear icon (at the top right) and select 'Internet Options' from the drop-down menu. If the 'General' tab isn't pre-selected, click on it. Click to put a tick alongside 'Delete browsing history' on exit. Click 'Apply' and 'OK'.
Then download a decent browser, such as Firefox, and forget about Internet Explorer completely!