Hi jjsan1
Some things wont be cleaned (removed) while Windows is running, they will if you restart your computer.
The Information below is from the "Beginners Guide" for CCleaner, it's well worth reading the whole guide
Delete Index.dat files
Although essentially undocumented by Microsoft there are several hidden files, all with the filename index.dat that reside in directories on your system. These permanently cache website addresses and cookies from sites you have visited. This list is never deleted and gradually increases in size, resulting in IE slowing down. Selecting this option will mark these files for deletion the next time your computer is rebooted. (Unfortunately these files cannot be deleted immediately as they are permanently in use by the operating system.)