You can delete the index.dat file if you boot up to C: prompt and do it that way.
Then, create a new index.dat file and set it to read-only. That'll stop internet explorer adding anything to it.
IIRC, it changes the read-only attribute and goes right on ahead and writes to it.
Not sure how many people here will be able to boot to c:\ if their windows machine is on an NTFS partition, though it is possible. NTDos or something I think it was called. :)
Actually, FreeDos did it :)