Delete index.dat files
Index.dat files are used to store Internet history, Temporary Internet Files, cookies and other information about your Internet activity and can compromise your privacy as any person who has some knowledge about index.dat files and has access to your computer can see the history of your Internet activities.
Some of index.dat files are system files. They are used by Windows all the time (locked by Windows) and they can't be deleted manually. Index.dat files content is not deleted even if you clear browser history, Temporary Internet Files and cookies.
There are three locked index.dat files used by Internet Explorer, MSN Explorer, AOL Explorer and Maxthon:
history index.dat
cookies index.dat
Temporary Internet Files index.dat
Using Clear All History you can easily clear these index.dat files or delete index.dat files at Windows startup
delete history index.dat file
delete Temporary Internet Files index.dat
delete cookies index.dat file
IECompatCache index.dat, PrivacIE index.dat and IEDownloadHistory index.dat can be deleted any time.
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Tips:
The fastest way to clear history tracks:
Double-click the Clear All History desktop icon
Click the 'Tools' button in the program toolbar.
Select What to Clear.
Click the 'Quick select' button.
Click the 'Clear all selected items' button or click 'Clear All'
More details...
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Delete history index.dat file:
Double-click the Clear All History desktop icon
Click the 'Tools' button in the toolbar.
Select What to Clear -> Browser History item.
Select your browser (Internet Explorer, MSN Explorer, AOL Explorer or Maxthon)
Put the check mark for 'history index.dat' under 'Delete Index.dat files at Windows start up'.

Click the 'Apply' button.
Delete Temporary Internet Files (cache) index.dat:
Double-click the Clear All History desktop icon
Click the 'Tools' button in the toolbar.
Select What to Clear -> Browser History item.
Select your browser (Internet Explorer, MSN Explorer, AOL Explorer or Maxthon)
Put the check mark for 'Temporary Internet Files index.dat' under 'Delete Index.dat files at Windows start up'.

Click the 'Apply' button.
Delete cookies index.dat:
Double-click the Clear All History desktop icon
Click the 'Tools' button in the toolbar.
Select What to Clear -> Browser History item.
Select your browser (Internet Explorer, MSN Explorer, AOL Explorer or Maxthon)
Put the check mark for 'cookies index.dat' under 'Delete Index.dat files at Windows start up'.

Click the 'Apply' button.
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