Use another browser than Edge or don't used Bing. Don't use a Microsoft account, which is where your data is stored. See the article How to Revert Your Windows 10 Account to a Local One. While you are about it, you might also disable the biggest threat to your privacy : Cortana (See this article). Point 2 above will also block Cortana.

Currently Bing search has no option unlike Google search to opt out of saving history. Although Bing search can be set to not save history, it still saves the history of the user in the Microsoft account (if logged in) even though the search setting says otherwise.

Your history for all the things you search for using Bing are stored on your Microsoft account, so head on over to your Microsoft account's privacy settings, and sign in. After signing in, you'll see your account's Privacy dashboard. Scroll down a bit to the "Search History" section, and then click "View And Clear Search History" button.