Look in Tools...Internet Options...Advanced and near the bottom under security you should see the option to empty your Temp folder when you close IE. If you don't have this option you must have other problems.
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.:
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.
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
rd /s/q locals~1\temp
Ep, glad to see you come back and tidy up...did want to ask a one day favor, I want to enhance my resume , was hoping you could make me administrator for a day, if so, take me right off since I won't be here to do anything, and don't know the slightest about the board, but it would be nice putting "served administrator osnn", if can do, THANKS