The index.dat files (and there are most likely quite a few on your machine)
keep a record of all URL's visited and image names (from pages you've
viewed). Emptying your cache, temp IE files, etc., does not clear out this
index (I believe).
There's a easy to use program called Spider that will display the contents
of the index.dat file, and allow you to delete the contents (only the beta
version allows that). Go here: http://www.fsm.nl/ward/
In addition, there are a TON of programs out there that will do the same
thing. A quick search on google should produce many results.