None of the above recommendations are worth trying out, instead use these programs:
Spybot S&D
http://www.safer-networking.org/
MRU-Blaster
http://www.wilderssecurity.net/mrublaster.html
Turn on all file sets on Spybot and then clean house, nothing of your history, cookies, cache, MRU lists, anything will remain when you're done. MRU blaster catches what Spybot doesn’t, which isn't much. But since MRU blaster runs much quicker than Spybot it's better for a quick swipe versus an in-depth inspection. MRU-Blaster also will specifically target IE cache and temp files if you tell it too.
I WOULD STRONGLY RECCOMEND YOU USE A DIFFERENT BROWSER THAN IE, IT KEEPS HIDDEN SYSTEM ONLY PROTECTED FILES CONTAINING YOUR BROWSER URL HISTORY WHICH CAN ONLY BE DELETED THROUGH COMPLEX FILE MANIPLUATION AND A COMPUTER RESTART.
But if you insist on using IE this program
http://www.fsm.nl/ward/ will delete these files for you.
You might think about using Mozilla or if you’re a geek Firebird (mozilla.org for both)