I'm not sure about the other browsers but with IE you can also just right click the IE icon and choose "start in private browsing"
Or, if IE is already open, click on the tools icon, then on Safety,and then InPrivate Browsing. I usually forget about it though so rarely use it. I hate using key combinations.
Hmm, ctrl+shift+P does nothing for me in IE.
Ahh, you have to hold the keys down for a second or two. Then it opens a new instance of IE on the task bar and you have to click on that. Doing it through the tools menu opens the new window automatically. Yet another strike against shortcut keys