Basically when you Enable the Policy (via right-clicking on the words "Disable Configuring History") you just have to type "0" in the box, Apply and OK etc., reboot, or use GPupdate /force from a Command Prompt for the policy to be implemented. Check the IE setting to see that "0" (is dimmed) and appears in Browsing History/ Settings for number of days to keep pages in history.
The box I mention has scrolling arrows for going up and down 1 - 999, but you can also highlight the box and type "0" into it, then the arrows go up and down 0 - 999, I just threw that in to confuse everybody, me too.