The index.dat files are always LOCKED during a Windows session and can not be deleted manually. Best to buy a program to to this for you. Simply clearing the history etc. does not remove the data from this file.
This program will work for $30. http://www.privacyeraser.com/
Noli Nothis Permittere Te Terere!!
EVGA 680i, Dual EVGA 8800GT'S (650/950), 4 gigs OCZ DDR2 1066, Intel Q9450 at 3.8 Ghz, Koolance Water Cooled, Dual Plextor16x DL DVD+/-RW. Dual WD 250gb 16mb Cache Sata 3.0. 3DMark06 score = 19,168.