There may be a way to reenable the option, but to be honest with you, I'm not sure how. My suggestion to you is if you do not get a reply here from someone who can tell you how, reinstall Internet Explorer
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BarbaraMN, the purpose of your browser storing these files on your system is to improve webpage loading. It saves content from the sites you visit, so that next time you visit them there is no need to reload them since they are already on your system, hence faster web browsing. This cache of webpage content often tends to grow quite large, and degrades system performance
A pro to having these files automatically deleted is that there is no need to worry about forgetting to erase these files from time to time. Erasing these files can improve system performance
A con is of course, a reduction is web browsing speed since the browser needs to load the content from the website each time you visit. But if you have broadband, it really shouldn't be much of an issue
Hope that answers your question