I've got a feeling my brother is going on certain sites he shouldn't be using my computer, then deleting the history afterwards. Any lightweight programs that keep track of web history regardless of if it's deleted from the regular history you could reccomend? I'll be pissed if I get in trouble for this.
Parental control software like that is often extremely invasive and highly proprietary. There are two tools I can think of (though only one is really a tool, the other is a combination of sorts)
1. http://explore.live.com/windows-live-family-safety - Now whether this works in private browsing I don't know
2. http://www.labnol.org/software/remote-desktop-monitoring-with-dropbox/13696/. Technically you can do it without dropbox by using the http://forums.dropbox.com/topic.php?id=13805&replies=23 and setting it to save somewhere on your computer.
Either tool can be disabled if your brother realizes what is going on. The advantage of #2 is that it will work even if your brother uses proxies or any other exotic setting. The advantage of #1 is that it is more likely harder to notice/disable.
The best solution, though, is just don't let your brother use your computer. Set a password on your computer and, if necessary, use Truecrypt to encrypt the entire hard drive.