Microsoft calls their incognito mode "InPrivate".
There are (3) ways to access InPrivate mode in Edge:
1) Right-click the Microsoft Edge logo in the taskbar and select New InPrivate window.

2) In Microsoft Edge, Right-click a link and select Open link in InPrivate window.

3) In Microsoft Edge, select Settings and more and choose New InPrivate window. "Settings and more" is the three horizontal dots in the top-right corner of the Edge browser.

To open an InPrivate window, you can also use a keyboard shortcut:
Windows, Linux, or Chrome OS: Press Ctrl + Shift + n
Mac: Press ⌘ + Shift + n.
You may visit https://support.microsoft.com/en-us/microsoft-edge/browse-inprivate-in-microsoft-edge-cd2c9a48-0bc4-b98e-5e46-ac40c84e27e2 to learn more about InPrivate.