And how do I go about cleaning it out?

OS is NT with SP 6
I use IE 6.0

EZSCAN has attempted to run a scan on me, but I've
shut it down several times (I'm at work, hehe)

I don't have a DOS disk and my only shutdown options are shutdown
and restart (no restart in DOS or fun things like that).
I say this cause I've seen the article that addresses this by shutting down
and restarting in MS DOS mode.

I am unable to locate an index.dat file on a scan of my C drive.

Any suggestions?