<< For some reason, Microsoft neither wants you to know about these files nor do they want you to delete them. They are NOT vital to the functioning of Internet Explorer. Index.dat is locked - you cannot delete or modify it from Windows, even if you aren't running Internet Explorer! If you go to DOS (boot off a floppy for example) and set the index.dat to zero bytes and make it read-only, Internet Explorer will still function perfectly. >>
No, Once you open IE or My Computer or any other program that uses any sort of IE derivative, Windows locks the file. Before then, you can delete it. I've deleted it in DOS mode.
All this IE stuff really isn't a big secret. How is it a security issue? WTF? If Microsoft wants to know what all pr0n sites you've visited, big deal. If they can get online passwords and such, simply don't use online banking etc. It's not that hard, people; gimme a break.