Description: I myself like the new IE8 feature, InPrivate Browsing. However, InPrivate browsing doesn’t inherit the properties of the default browsing and doesn’t open my default home page. I am baffled to see About:InPrivate page when I open a new session.
The following tweak helped me to set a default home page for InPrivate browsing too 
Procedure:
1. Click Start, Run.
2. Type regedit.
3. Navigate to the below registry key:
HKEY_LOCAL_MACHINE\SOFTWARE\Microsoft\Internet Explorer\AboutURLs
4. Double-click InPrivate option and set your favorite URL.
5. Exit the registry.
For those who are not good at registry modification, I’ve created a .reg file. You may download and run the .reg file [Download Link]. However, this defaults to www.ietips.net website. If you wish to change it, right-click the .reg file and change the URL with the URL you wish to change.
The regedit modify did not work for me with IE 8.0.7600
I simply created a shortcut to add or edited IE Shortcut (Right click icon) properties> Shortcut Tab> Target attribute
“C:\Program Files (x86)\Internet Explorer\iexplore.exe” -private http://www.google.ca
Morris,
I’ve verified the regedit file again and its working fine. Do you have any AntiVirus enabled? I infer that the AntiVirus will block registry keys modification. Give a try
Regards,
Admin