What is an index.dat?
An index.dat file is a hidden file that contains a record of every web site address you have ever visited and holds information on all your Internet activities, yes including emails sent and received through Outlook or Outlook Express One of these files can be located and viewed by Windows Explorer but none can be deleted using either Windows Explorer
According to Microsoft these files are used to help speed up the loading of web pages in Internet Explorer. This doesn't appear to be the case because when you delete the Temporary Internet Files the "index.dat" files remain behind and continue to grow. If you delete or clear the Temporary Internet Files then there is no need to index the URL cache because the files no longer exist.
Where are my index.dat files located?
On Windows 95 and 98 computers the files are located in the following locations:
C:WINDOWSCookies
C:WINDOWSHistoryHistory.IE5*.*
C:WINDOWSTemporary Internet FilesContent.IE5*.*
In Windows 2000 and Windows XP the files are located in the following locations:
Documents and Settings
Cookiesindex.dat
Documents and SettingsLocal SettingsHistoryHistory.IE5index.dat
Documents and SettingsLocal SettingsHistoryHistory.IE5 MSHist012001123120020101index.dat
Documents and SettingsLocal SettingsHistoryHistory.IE5
MSHist012002010720020114index.dat
Documents and SettingsLocal Internet FilesContent.IE5index.dat
How do I view my index.dat files?
If you are in Windows, even with "Show hidden files and folders" enabled, index.dat files are not visible and cannot be found if you do a search for index.dat files. The reason that these files are so invisible is that they are not just hidden, they have been designated as "system" files. System files and folders are treated differently in DOS and Windows and are effectively cloaked from casual searches.
They can be viewed using a Dos based programme such as StupenDos
How do I delete my index.dat files?
In order to delete these files you will need a Dos based programme such as StupenDos
StupenDos is available free from http://www.sharewarejunkies.com/8s3/stupendo.htm
However before deleting your index.dat files you must first clean up your hard driving by deleting
All Cookies
Your History
Your temporary Internet files
If you delete your index.dat files before cleaning up your hard drive the index.dat files will use the information contained on your hard drive to re-write themselves (to their original state prior to deletion)
Having cleaned up your hard drive, then deleted your index.dat files you will need to reboot. Then you will then discover that your PC has written new (clean) index.dat files. These files will remain clean until you log on the Internet, then they will again begin gathering information on your Internet activities.
About the Author
Sue Edmondson if the founder and owner of a12c4magic a uk web site offering magic the gathering cards, theme decks, gaming accessories and free useful downloads for magic players. 
