How do I disable Safari from loading a lot of sites?

Can you clarify what you mean by "loads sites"?

If you mean it opens lots of tabs with actual websites opened, then just close those tabs before closing down Safari.

If you mean you see a lot of icons when you open safari, that is just the favorites list, you can edit them by going to the Bookmarks menu, clicking on Edit Bookmarks and delete anything you don't want from the Favorites folder.

If you are referring to something else, please clarify.

Also, unless there's good reason to be using an image for your question, it's best if you just type it out in the reply box.