Hi Catweazle.
Index.dat files are completely useless and should be removed, although they will immediately start to rebuild themselves. Every time you visit a website, a cookie is put on your system and a record of the website is kept on your hard drive in Temporary Internet Files and History. These are know as "Internet Tracks" - anyone can look in your History and see what websites you have been on. To put it simply, an index.dat file is like a database and keeps a record of everything that is in your cookies folder, history folder etc. Every time you visit a website, another line is added to the index.dat file.
However, if you have any sense, you will empty your hard drive of cookies, Temporary Internet Files etc as a matter of good housekeeping. Unfortunately, this does not alter the contents of the index.dat file, therefore, as well as being useless, it is always out of date. The only sure way I have found to delete these pesky things is to remove them when Windows is not running.
1) Turn off your computer and put a Windows 98 boot disk in the floppy drive (a: drive).
2) Let the floppy start the computer and wait until you are at the C:> prompt.
3) At the C:> prompt type the word delete followed by a space and then C:
followed by (on a Windows 98 or ME machine)
\WINDOWS\Cookies\index.dat
\WINDOWS\History\index.dat
\WINDOWS\Temporary Internet Files\index.dat
i.e.
delete c:\windows\cookies\index.dat
On a Windows 2000 or XP machine
\Documents and Settings\
\Cookies\index.dat
\Documents and Settings\\Local Settings\History\History.IE5\index.dat
\Documents and Settings\\Local
Internet Files\Content.IE5\index.dat
i.e.
delete c:\Documents and Settings\\Cookies\index.dat
However, all this will do is give you a clean index.dat file and it will start again from the beginning as soon as you go on the internet.