I did this, work on registration table in Hkey-Users, and go to "internet explore", and change the "Save_Session_History_On_Exit" to "Yes". It seemed fix it. It like this it seem save the history, when you close all the IE, and re-run it again, you could see the history is there, but if you re-boot the computer, the history is all gone. This is really strang, anybody can help me out, thanks in advance.