Index.dat is just an index of your Temporary Internet Files, there are ways of deleting it in DOS or with some third party tools. It just rebuilds itself at bootup. Unless its growing out of size its fine to leave alone.
Dave, A program called Skybot will list them for you. They are a complete record of every website you have ever visted. Noone seems to know why they are kept but I want to delete mine. If you find out pleae let me know, Mel