Hi Wired14-
Are you using Win 9x operating system? If so, click "Start", click "Shutdown", then click reboot to DOS.
At the A: prompt type "deltree /y c:\windows\cookies" (without the quotes), when its done type "exit" (again, without the quotes) to boot back into windows. What you've done is deleted the Cookies folder through DOS, then when Windows reboots it says to itself "self, we're missing the Cookies folder we'd better recreate it" which it does, with a 32KB (empty) index.dat file. Honestly I think doing this is a waste of time as it's never been proven that your movements can be tracked through the contents of index.dat.
Although i've done this many times, (in Win98)
deltree /y c:\windows\temp
deltree /y c:\windows\tempor~1
deltree /y c:\windows\cookies
deltree /y c:\windows\history
deltree /y c:\windows\win386.swp
exit
with no ill effects, if YOU choose to monkey around in DOS with the deltree command, i'll not be responsible for any mishaps (it's possible to completely disable your operating system...IF your not careful).
Also i've never tried this with any NT based operating systems.
Good Luck
elec.tron