I would do one of two things.
1) Use a browser other than Internet Explorer to surf the sites that you don't want him knowing about - download Mozilla Firefox or something, install it (if he hasn't disabled your ability to do this), and then delete the shortcuts from the start menu and desktop so you have to go into the folder and run it (rename the folder too, then for him to know it is installed, he would have to go into add/remove programs). If he does notice, and asks about it, just tell him one of your friends told you about it, but when you tried it you didn't like it - you can always put it back if he uninstalls it. Whenever you are done using it - simply clear its history, and remove it from the start menu if it pops up as a recent program.
This allows you to leave your IE history alone - use IE whenever he is watching, and since it keeps its own history - the sites you visit using Firefox won't show up, and since you don't have to clear IE's history, it won't look like you are trying to hide anything.
OR....
2) F**k with his head.
Anytime I ever suspect someone of spying on me, I will start doing things to subtly let them know that I know they are doing it.
For example: start by visiting a bunch of sites you wouldn't normally visit. Maybe start with some bi-curious sites (nothing naughty, just forums and stuff), and then start dropping hints that you are confused about your sexual orientation.
If he immediately starts complaining that it's the sites you have visited that are bringing this about, then call him on it - and let him know that you set him up. He will feel like an idiot (though he may take your computer away).