Index files are a part of the IE browser and so they can't be removed while Windows is running. The only way to delete them is in DOS, which is a good idea to do as much as possible since they keep growing over time as you surf and can affect performance. When you reboot they return but a lot smaller.
There's several ways to get rid of them, you can manually do it by individual command prompt, write a batch file yourself, which will do it all at once or download Delindex, a batch file already written to do the job.
Install Delindex on your Root C:
If you have Windows 98 go to Start > Shut Down > Restart in DOS Mode and at the C:\Windows prompt type:
At the C:\ prompt type:
If you have Windows Millennium boot up with a Startup disk and at the A:\ prompt type:
At the C: prompt type: