from my understanding of "private browsing" its per session mode. It allows all functions such as what you mentioned, cookies and history, cache as long as you are in that session. restart to get out of session and as anon said it del and does not record anything thats usuable when going back to normal mode.
If you wanna block cookies, vb script, java script use something like Agnitum Outpost Firewall to disable those things.
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