Private Browsing is a collection of settings and tools that will enhance the privacy of an existing copy of Firefox Portable (so you'll need to have that installed, first).
It provides a custom profile which turns off persistent cookies, browsing and download history and other potential privacy risks, for instance.
You also get Flashblock to block Flash cookies. AdBlock Plus (and a subscription to the EasyPrivacy list) will do a good job of blocking tracking scripts and sites. And other addons installed in any local Firefox profile will be ignored, so you don't have to worry about them recording any compromising information.
The program maintains a separate set of bookmarks, too. You can bookmark sites within a "private browsing" session, and those bookmarks will be persistent, but again they're kept separate from those in any other local Firefox profile.
And Private Browsing by PortableApps.com 3.0 also uses a custom theme and branding. Once it's launched you'll see its own icon on your taskbar rather than the usual Firefox one, for instance, which avoids any confusion, as you'll always know at a glance that you're running a private session.
As the authors note, this isn't a perfect solution. If you're not accessing the web directly - you're going over the network to a router, say - then your network traffic can still be tracked. Private Browsing will ensure you don't have any internet tracks left on your own PC, though, and you'll also bypass most internet and advertising tracking schemes.