iISystem Wiper is a freeware utility which lets you ‘clear the history of your activites from you computer’. The free version handles temp Internet files, cookies, histories etc etc. The $14.95 Pro version provides secure file deletion. Worth a download. Scrub XP for Windows XP is another good looking freeware option.
While you’re at it, take a look at the free Internet Cache Cleaner, which removes stuff that has become orphaned and therefore unseen by the IE cache manager. Useful.