Microsoft's Really Hidden Files
Mind you, I believe the index.* files have to be deleted before Windows starts up, or at least with a boot floppy/CD image as they are considered "in use" while Windows is in memory.
You might want to try browsing with Firefox (which includes extensions that can wipe your private information with one button click), or using a program like BCWipe/or BCResident that actually includes functions that encrypt the swap file (which contains traces of memory dumps including saved URLs, images, addresses, generally anything in RAM!) as well as completely obliterating files by overwriting them many times with random bits.
Obviously, log your computer off at night and change your password regularly. You might want to also prevent filesharing so that users cannot simply navigate to your PC and snoop around your files that way. =/
Of course, if people aren't this nosey, forget I said anything =)