The information on that page is very dated. Much of it applies only to
Win 95 and 98. Most of it isn't terribly wrong, except for the level of
hysteria conveyed. None of it is new, or very exciting.
Yes, browsing and other history is kept in index.dat files, and yes,
they're given the system attribute. That doesn't make them evil or
evidence of nefarious intent. Why was it done that way? It's the same
reason that applies to every other Windows feature, good or bad: someone
thought it was a good idea at the time.
In Windows 2000 and XP, most files with the system attribute can be viewed
in Windows Explorer if the option to "Hide protected operating system
files" is unchecked in Folder Options > View. Files in special folders
controlled by a desktop.ini file aren't displayed by Windows Explorer but
can be viewed by most any other file management program, including the old
File Manager from Win NT. There are various tricks that can make these
files visible in Explorer temporarily or permanently.
The DIR command in 2K and XP will find and list all of the index.dat files
on the system. Typing "dir /a/s/b index.dat" at the command prompt on my
2K system lists 27 occurrences, most but not all in the Documents and
Settings folder.
All of this may be interesting, but it's not really relevant in a group
devoted to Internet Explorer.