You can open an InPrivate window in three different ways as below:
Select and hold (right-click) the Microsoft Edge logo/icon in the taskbar and select New InPrivate window.
In Microsoft Edge, select and hold (right-click) a link and select Open link in InPrivate window.
In Microsoft Edge, select Settings and more >New InPrivate window.
For more info, click on this link here: Browse InPrivate in Microsoft Edge