Problem with safari browser-need not remember anything

Hello,
I use apple safari browser as my main internet browser and I have been using it for a while. Recently I have installed a newer version of apple safari. I have in activated the remember history option which says that it will remove every history after each exit.
But it seems that the setting is not in action and opens the page I opened last time before closing the browser. Please someone tell me what to do.
Alden Clayton
