Index.dat is used by Internet Explorer to store webpages. When you visit a webpage Internet Explorer will save address, time, pictures, scripts, cookies and the contents of that webpage to your harddisk. The reason of this is to speed up your next visit on that webpage. Information about this files, cookies and where Internet Explorer have saved them is in index.dat.
In Internet Explorer you can delete a lot of the information that is stored in your computer. But you cant delete information in index.dat. For that reason it is easy for a person with the right tools to see which webpages you have visit and which files you have downloaded.
Index.dat is locked so even if you find it you can’t edit it. The easiest way to clear it is to use a tool.
Here are some tools that you can use
Privacy Guardian™ 4.0 for Windows