Everyone here is on the right track, here is what they do in detail:
The Index.dat file within the Cache folder is used to contain URL names, date and time stamps, and pointers to the actual cache files which are spread among the four to eight cache sub-folders. These sub-folders are named with randomly-generated 8-character names.
The Index.dat file within the Cookie folder is used to contain URL names, date and time stamps, and pointers to the actual Cookie files which are stored within this same folder.
The Index.dat file within the upper level of the History folder is used to store 'Visited URL' names, date and time stamps. This is the data used by I.E. for its AutoComplete function and controlling the highlighting of imbedded links on the displayed Web pages.
There is one 'mshist...' file for each day of history that you have instructed I.E. to retain. The daily history is stored in the subordinate Index.dat files.
These files can be used as forensic evidence as stated earlier. You would be shocked at how esy it is for computer forensic agents to find information, the average person does not even clean there system at all. Another way to find information is in files slack. But that's beyond the scope of your topic...