You can open any index.dat file with Notepad since it just contains plain text, not binary code.
Be aware that when CCleaner or any other utility deletes index.dat files, Windows will always create new ones (with no website data in them) the next time you re-start Windows. So don't think the files should not be there after CCleaner has deleted them. The ones that were there have indeed been deleted, but Windows is compelled to create new ones. Because of this, deleting index.dat files has to be repeated by CCleaner in a continuous cycle each time the PC is re-started.