There are far more things to worry about than just the index.dat. If you want to keep your activities private on a Windows computer, you've got to do lots of work. Microsoft "privacy features" like deleting cache or history never do a proper job of deleting everything (and I've seen many cases where it did absolutely nothing). There are hundreds of records (browsing, recent files, log files, temp, indexing, etc) kept in hundreds of locations. Take a look at the registry (and have a barf bag handy).
Whenever I wanted to "clean" my computers at work (cleaning hidden records, nothing else), I had to spend about an hour deleting files and editing the registry.
(bill gates just called to remind me i missed a toe while clipping my toenails the other day; ill have to remeber to cover my webcam)
:-D That was the little toe on your left foot, right? Yeah, I saw that too, but knew Bill would remind you so I didn't bother. (your sock has a hole in it too)