From the built-in help:
When Private Browsing is on, webpages are not added to the history list, the names of downloads are removed from the Downloads window, AutoFill information isn’t saved, and searches are not added to the search field’s pop-up menu. Websites can’t modify information stored on your computer, so services normally available at such sites may work differently until you turn off Private Browsing. Any changes made to cookies are discarded when you turn off Private Browsing.
Plug-ins that support Private Browsing also stop storing cookies and other tracking information.