Private browsing
Private browsing - also called incognito or a private window - is a browser mode that keeps history, cookies and form entries out of the browser's stored data for that session and discards them when the last window closes. It is a local cleanup, and that is the full extent of what it does.
Where you see it
Opened from the browser menu as a separate, visibly marked window; sites also treat you as a first-time visitor inside it, so sign-ins and cookie banners reappear each session.
Why it matters
This is the control people lean on most and misread most. It hides the session from other people using the same device. It does not hide it from the network you are connected through, from the site you visit, from an account you sign in to while you are there, or from a card statement. Files you download and bookmarks you save survive the window closing, which is how private sessions leak most often.