An even better solution if you want to keep the cache as small as possible is to open the Tools - Internet Options dialog, go to the Advanced tab and check the Empty Temporary Internet Files folder when browser is closed checkbox. You can also go to the General tab and decrease the maximum size of the cache.

There is also a Delete files button on the General tab, which you can use to delete the files in the cache. index.dat itself will not be deleted or emptied. That's probably a bug, but...

Note: This applies to IE5, but should work at least in IE4 and upwards.

If you want to do a real delete under Windows NT/2000, you should log in as Administrator. If that is the account you are using to "surf", then create another account with administrator rights and log in as that instead. Then go to C:\WINNT\Profiles\username (NT 4) or C:\Documents and settings\username (2000) and find the stuff to delete. The Temporary Internet Files folder is usually in the Local Settings subdirectory.