typed urls are stored in the registry but something like SPybot or adaware give you the options of clearing such MRU lists (most recently used).
There will be several index.dat files on your computer which will be cloaked so an explorer search won't find them, they will also be locked by the operating system. You can delete them by using a facility on hijackthis or some such to "delete the file on reboot" alternatively you can kill the explorer process and then delete them from the command line.
To be really safe you would want to "shred" the files i.e. use a deleting program that will make x no. of write passes to obliterate data.
Don't use IE, use firefox. Firefox doesn't use index.dat files or anything like that.
YEah, if you load into safemode with commandprompt (F5) then navigate to these folders and delete the index.dat files:
Documents and settings\$user$\cookies
windows\temp\temporary internet files\content.ie5
there may be other locations too. Most of these folders are invisible at the command promt buy you can still navigate to them.
once youve deleted everything you can then use something like hdcleaner to make around 7 or so write passes on your free space.
Intel core I7 920
6GB OCZ platinum 1600
Samsung 1TB F1 Spinpoint
Samsung SM2443BW 24"