They let you open a special browser window.
Regardless of the name, they all work roughly the same way. Private browsing features go by many names – for example, “Incognito Mode” in Google Chrome, and InPrivate in Microsoft Edge. Few technology features are surrounded by as many misconceptions as private browsing. Maybe you’re thinking: I want privacy, so I’ll just use my browser’s “private browsing” feature, and I’m good to go.