Incognito Window :
Incognito means - "Your identity concealed"
Pages you view in this window won't appear in your browser history or search history, and they won't leave other traces, like cookies, on your computer after you close the incognito window. Any files you download or bookmarks you create will be preserved, however.
This can be mainly used for : Banking Sites, Online purchase sites, Confidential Sites can be browse using this Incognito Window.
Short Cut Key :
Open Chrome Browser : CTRL+SHIFT+N
No need of any installation in case of Chrome Browser just open chrome browser and press the ctrl+shift+n
In case of Mozilla Firefox you may need of plug-in that can be download from here