The answer to this question really comes down to just how paranoid you want to be. EVERYTHING you do on a machine has the possibility of being logged somewhere.
For example, even when a program has a setting to not save the name of a video file in a "played list", it might still log an error somewhere with the video name if something goes wrong while playing the video. It really comes down to how much you can trust the programmer that designed the program, and if that programmer had privacy in mind while working on it.
The only way you're guaranteed no footprint is to use a linux livedisk on a cd, or booted from ISO on a USB drive. This method is guaranteed not to leave a trace because it loads the entire operating system in memory (ram). The hard disk is never used to read or write data. Obviously this method has downsides:
- Limited Memory (can't store data that exceeds the amount of ram on the computer)
- No Saved Data (can't save data past reboots, unless you explicitly write to the hard disk)
- Computer runs slower due to limited memory.
The easiest setup would be to download a burn a linux distribution to a cd, getting ISOs loaded into ram correctly takes much more effort to configure correctly.