The index.dat files are files impossible to delete under windows, and it stores all the information of your surfing history, you can be followed through these dangerous files. and even if you delete your cookies and your history, these index.dat files remain there and become bigger and bigger, their original size is 16kb but they can reach up until 600kb.

to preserve your privacy I found a way to delete them. It's impossible to do in windows thus you have to reboot your computer then press F8 or F5 for advanced boot options; then choose "safe mode with command prompt". Log in as administrator and then from there you can delete them freely without windows preventing it.

To delete the index.dat, follow the next steps:

1. Go to the root (c:\) by typing CD\

2. Type del index.dat /s then Enter
    

All the files names index.dat in your computer will be deleted permanently.

For more security; also in command prompt mode; go and completely delete your cookies folder to be completely sure all your internet cache and history is gone forever. (well until you start browsing again; as soon as you boot up normally windows will recreate them, but blank)