It is probably possible, I know that Proggies like SystemMechanic have a setting to Keep Items in History for 0 days and it also has a setting to clear cookies when you exit IE. I have often wondered what and how it does this, must set something in IE, because SysMechanic doesnt run in the background. I dont code or know anything about it, but if other proggies tweak something or do it without running, I would imagine something could be created somehow. GoodLuck in you findings.
Mortis
EDIT: I am interested in knowing if you come up with anything, thanks.