A caller to KWHN Friday morning asked about the index.dat files that he discovered on his computer. It took a little bit of research, but here is the answer:

Index.dat files contain all of the web sites that you have ever visited, every email is logged, and there are numerous copies in various directories. They are not cleaned or deleted using any of the commands in Internet Explorer and Microsoft has not given a complete explanation of the purpose of these files.

Microsoft only says that the files are used to speed up website surfing by aiding in cacheing the site.

If deleted, these files will reinstall clean copies of themselves, and everything will run normally. However, deleting the files is not easy, and requires the use of DOS commands for Windows ME and earlier, and another administrator account for Windows 2000 and higher. Click here for Microsoft instructions on how to delete the files.

If you want to see what is in the index.dat files, Steven Gould has a free utility that allows you to view the contents and delete the file upon reboot. There are various other utilities available for deleting the index.dat file, but I have not had a chance to review them.