Shoutbox

You don't need to delete them manually:
Go to Internet Options and in the general tab you'll see a button do delete you temporary stored contents. As well as cookies or history.

index.dat is used and needed by internet explorer, since it tells IE what the folder contains without having to browse it. Once you delete all files and open Internet Explorer, index.dat should be changed to show the real contents stored in there, ie becomes a sort of blank file.