The Private Browsing feature in Apple Safari before 4.0 on Windows does not remove cookies from the alternate cookie store in unspecified circumstances upon (1) disabling of the feature or (2) exit of the application, which makes it easier for remote web servers to track users via a cookie.
http://www.vupen.com/english/advisories/2009/1522
http://www.securityfocus.com/bid/35346
http://support.apple.com/kb/HT3613
http://secunia.com/advisories/35379
http://lists.apple.com/archives/security-announce/2009/jun/msg00002.html