I've moved the default MSIE 7 (Vista Home) cache folder location to a USB drive (encrypted on-the-fly with TrueCrypt, but I don't see that as the problem) instead and now I find that CCleaner doesn't clean out anything anymore ! As a double check, I checked the cache contents in MSIE and they all still showed there.
I can browse to the new folder, click a file and hit delete, and it's gone, so there's no restrictions that I can see.
Is this a bug or is there a setting for it ?