index.dat

Using the sysinternals.com "movefile" command, you can delete index.dat at next boot.

From my work Vista laptop:

movefile "C:\Users\<username>\AppData\Local\Microsoft\Windows\Temporary Internet Files\Low\Content.IE5\index.dat" ""

...

movefile "C:\Users\<username>\AppData\Roaming\Microsoft\Windows\Cookies\index.dat" ""

There's quite a few index.dat files on your PC, you need to get them all the IE related ones.

Index.dat - more info here:

http://blog.wisefaq.com/category/internet-privacy/