The bootdisk.com newsletter, the BootLIST (#237, October 2005), recommends this freeware download: IE-Privacy Keeper Holey moley! I had no idea there are that many temp files all over the place on a computer Looks like it handles Media Player files and histories as well.
Whether you are using Internet Explorer or Mozilla Firefox, IE Privacy Keeper automatically cleans up the browser history once you are done surfing the net. The program will correctly clean up all index.dat files without the need for a Windows restart. Automatically cleans up all traces of your Internet activity at Windows shutdown, start up or when the last window of Internet Explorer is closed.