You can only clear forms and passwords through the Auto Complete section of IE. There's a little message at the bottom of the screen saying that clearing the History should be done to clear the address bar.
Your History file may be corrupted so that not all the locations are being erased, or the Temporary Internet Files director may have some corrupted files which is preventing them from being erased.
Log in as another administrative user so that you'll be able to modify your own files (XP won't let you delete certain directories or files under your own login).
Locate the History folder for YOUR login name, go to the History.IE5 folder, and delete all the subfolders in it (all start with MSHist) as well as the index.dat file.
Essentially the same process is used for the Temporary Internet Files folder. The directory name there is just Content.IE5, and the subfolder names are seemingly random. Delete the index.dat file and all the subfolders, but leave the desktop.ini folder.