This process works and clears them from run also:
Clear IE History, AutoComplete, Clear the TIF, Clear the RunMRU, Typed URL's
and Clear List (depending on which Start Menu you are using): Right click
the Start button/Properties/Customize/Advanced/Recent Documents/Clear List.
Added info:
Temp Files: IE/Tools/Internet Options/Delete Temporary Internet Files
Temp Files: C:\Documents and Settings\<username>\Local Settings\Temp & TIF
Cookies: C:\Documents and Settings\<username>\Cookies
History: C:\Documents and Settings\<username>\Local Settings\History