These data files are used by Internet Explorer and Windows Explorer. You cannot delete a file that is in use by a running program. If you feel you need to delete the file, you will have to shutdown all instances of Explorer and IE. This includes applications that may host the Webbrowser control: Outlook, Messenger, IE, Product Studio, Visual Studio, Help, Windows Media Player, etc. Your best bet is just close everything. When you are left with a desktop and a start menu, you will still need to shutdown Explorer. To cleanly shutdown Explorer: Start->Shutdown->CTRL+ALT+SHIFT+Click 'Cancel' (for more info, see this post). You can use Task Manager (CTRL+SHIFT+ESC, File->Run...) at this point to open a command window. You should be able to go delete the index.dat. I have only tried this on XPSP2, but it should work anywhere.