Although an occasional user of IE8, and never a user of InPrivate Browsing, I have noticed that C:\Documents and Settings\me\PrivacIE\Index.dat grows with the usual incriminating list of where I've been and what I've looked at.
I have this file - which is not locked by Windows - in my Include list, but could it be added by default to CC's list of index.dat files to delete? There's probably some other IE8 stuff as well which would benefit from being included, C:\Documents and Settings\me\Local Settings\Application Data\Microsoft\Internet Explorer\Recovery\Last Active and ...\Last Active\RecoveryStore spring to mind.
I have tested InPrivate browsing and it's useless, it just deletes your temp files as you go along, all visible with Recuva.