There is a setting in the group policy for XP Pro that can be set to disable this functionality. Run gpedit.msc, and the setting is under User Configuration -> Administrative Templates -> Windows Components -> Internet Explorer
Alternatively, you could go into the user's folders using explorer and change the security permissions for the History folder (right click on the folder/properties.../Secur
ity tab - advanced settings to set specific rights) to allow the users to create, read and modify, but not delete files in the folder. That should prevent the user from deleting the history but not prevent the creation/modification of history links by IE...
http://www.techsupportforum.com/microsoft-support/internet-explorer-forum/166263-prevent-deletion-internet-explorer-ie-browser-history.html