According to a leak to a Windows 10 Insider at Feedback Hub, the feature will allow administrators to run untrusted executables in a secure sandbox without fear that it can make any changes to the operating system or system's files.

Vole has since pulled the thread containing the information but before the take down it said that the feature is being targeted at Windows 10 Enterprise and requires at least 4GB of RAM,  GB of free disk space, two CPU cores, and CPU virtualization enabled in the BIOS.

It did not mention if the user needed Hyper-V but as the app requires admin privileges to install some features, it could be that Hyper-V will be enabled.

Apparently "InPrivate Desktop (Preview) provides admins a way to launch a throwaway sandbox for secure, one-time execution of untrusted software".

So it's an in-box, speedy VM that is recycled when you close the app.