This isn't a reg tweak, it is a configurable batch file.
Follow all instructions within the following according to what you wish to remove and/or recreate.:
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Privacy for Windows XP
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rem WinXP, cleans cookies, cache, temp, history, index.dat
rem put in startup folder and it'll clean each time upon logging in
rem save to text file named something like cleanxp.cmd
rem to clean index.dat files must logoff completely. Switch users wont' cut it.
rem
@echo on
cd %homedrive%%homepath%
rd /s/q locals~1\tempor~1
rd /s/q locals~1\temp\tempor~1
rd /s/q cookies
rd /s/q temp\cookies
rd /s/q locals~1\history
rd /s/q locals~1\temp\history
rd /s/q recent
md recent
rd /s/q locals~1\temp
md locals~1\temp
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