I would like to suggest that ccleaner delete or nullify index.dat.
Hello, and welcome to the CCleaner Forum.
This feature is already in CCleaner; on the Windows tab, section Internet Explorer, check 'Delete Index.dat files'. Please note that the files are deleted during the next Windows reboot.
There were problems with cookies-to-keep on Internet Explorer 7.0 with earlier releases of CCleaner; I don't know if this is fixed in the latest version 1.35.