Don't let Windows Indexing Service know too much
Keeping index files under control
Now for the bad news: even if you wipe these files, Windows will re-create them as soon as you reboot, and continue storing data in them. I recommend that you wipe each one, reboot, and then write-protect all of them. It's also important to search for them occasionally because Windows may create additional index.dat files as you use your machine. There are numerous utilities available that claim to remove these files while Windows is running normally. If you wish to check them out perform a web search using "index.dat" as a term, and you'll find links to several such tools.
If you use a good browser like Firefox or Mozilla, you will not have to worry about index.dat files. You'll only have to wipe them once. They'll be re-created after you destroy them, but if you use a browser other than IE they will no longer record details of your internet behaviour. All of the directories that Firefox and Mozilla use can be wiped easily and securely, or emptied and write-protected (about which there'll be more in a future column).
On Windows versions earlier than Vista, you will need to keep Internet Explorer to use Windows Update manually (because of its support of ActiveX Controls), but you needn't, and shouldn't, use IE for any other purpose. Once Firefox or Mozilla is installed and configured, you can destroy all of your index.dat files once, write-protect them when they are re-created after a reboot, and not worry about them in the future.
System Restore is another useful Windows feature with privacy implications. It creates snapshots of the system at periodic intervals called restore points. If the system is damaged by malware or a bad software installation, users can roll back their systems to a previous restore point when it was known to be working properly. Obviously, this is bad for data hygiene, though it is a real convenience. Ideally, the system contents backed up to the C:\Restore directory would not include any personal data, but that assumes that users will not unknowingly store sensitive files in directories that will be backed up.
It's also possible for viruses to remain in the C:\Restore directory when infected files are inadvertently backed up. The backed-up malware will defy removal by some anti-virus products, and when you restore the system you'll restore your viruses and malware as well.
So, System Restore is another item that's very handy, and bad for privacy and security. You will have to decide if the convenience is worth the risk, and choose your poison.