In win XP use the disk cleanup tool found at,
Start -> All Programs -> Accessories -> System Tools
You can also clean up other stuff too
There really isn't any point deleting the folders and the index.dat file as IE will create them again. The Disk Clean up tool will empty the contents of them. And having this speeds up browsing because your computer doesn't have to re-download the pics and flash files etc. again.
And a tip: If you use programs to copy other ppls display pics, make sure you use em
before you clean up the temp internet files as all disp pics are stored in zipped files in that folder