If you are using the IWebBrowser2 control and using
IWebBrowser2::Navigate to navigate, take a look at the Flags parameter.

It looks like it has a no history option(taken from
http://msdn.microsoft.com/workshop/browser/webbrowser/reference/enums/browsernav
constants.asp):

typedef enum BrowserNavConstants {
    navOpenInNewWindow = 0x1,
    navNoHistory = 0x2,
    navNoReadFromCache = 0x4,
    navNoWriteToCache = 0x8,
    navAllowAutosearch = 0x10,
    navBrowserBar = 0x20,
    navHyperlink = 0x40,
    navEnforceRestricted = 0x80,
    navNewWindowsManaged = 0x0100,
    navUntrustedForDownload = 0x0200,
    navTrustedForActiveX = 0x0400,
    navOpenInNewTab = 0x0800,
    navOpenBackgroundTab = 0x1000,
    navKeepWordWheelText = 0x2000
} BrowserNavConstants;

-Matthew