From what I find on Google...it doesn't seem like much to worry about.
One person mentioned that when they woul run SpySweeper, it would always appear in local settings\temporary internet files\content ie5 folder, etc.
So, they figured it was a website cookie, a java script (.js) file or some such persistent thing.
They downloaded the free "index.dat suite" to completely clear out index.dat files for cookies (and history and other junk)...(after first reviewing the index.dat files' contents to make sure) deleting them harms nothing and they will be recreated by windows as empty files.
BUT: in w2k and xp, index.dat files cannot be deleted from within windows. the index.dat suite creates a .bat (batch) file to do this as a run-once batch file on the next boot up. however, cookies sometimes store legitimate site logon information, so use with caution.
**I wouldn't do anything just yet...I'm hoping someone else here will jump in with some further information.
In the meantime, check this out:
http://smartercomputing.ipbhost.com/index.php?showtopic=7051&st=0&#entry48023