Here's an easier way to get to index.dat file as addresse in another tweak submitted here.
1. click on Internet Explorer
2. go to to your root dir (usually C
3. open Documents and Settings folder
4. open "your username folder"
5. open UserData
6. **close IE if you have it open**
rename index.dat to index.old
logoff and log back on (don't need to restart)
open up IE and go to a web page or site that always seemed to load slowly.
It should load a lot more quickly now.
NOTE. Always rename or backup .dat or other system files before deleting.