This does not happen to me in IE8, and I never noticed it. I also can not find it in the Internet settings anywhere.
Perhaps you have software on your computer that does this, for example, AVG Anti-Virus adds content to web pages to let you know that it has checked the links displayed for potentially dangerous content, which is why your security system software can expand all links to show you where they actually point, to prevent phishing attacks.
If you have any anti-phishing software on your computer, you will need to find this option.
An update is almost certainly some kind of smart CSS.
I created the following test page to demonstrate how you can add a URL to a link using the generated CSS content. If it was used in the print style sheet, this explains how the URL is added to the link when the page prints. To stop this, you will need to save a copy of the web page, delete the style rule from the print-only stylesheet, and then open your copy and print it!
<html> <head> <title>Test</title> <style type="text/css"> a:after { content: " [" attr(href) "] "; } </style> </head> <body> <h1>Test</h1> <p>This is a test to see if this <a href="http://www.stevefenton.co.uk/">Link Shows A URL</a></p> </body> </html>