Originally posted here by slarty
Conspiracy theory or what? Of course no such log exists.

True, Windows modifes a lot of stuff all the time

It logs cookies (of course, otherwise what would be the point). It uses a cache (to speed things up). True, some URLs do sometimes creep into one or two other places, but it's not deliberate logging:

a) Even the logistics of gathering logging from everyone's PCs would be mind-boggling
b) If "they" wanted to log all the web pages you visited, they would bug your ISP as it's much easier and more reliable (like "they" can do here in the UK)
c) Even M$ aren't that stupid.

Perhaps you've recieved a knock on the head, or been abduced by aliens lately?
Agree with your comments, except it does seem a bit odd that some of these files cannot be seen from Windows. For example if you do a search for index.dat (using Start/Find), then it will show you some of them, but not others. Of course, if you try and delete any of them, it won't work, as Windows is actively using them.

The main reason I run my bat file from time to time is to tidy up my HDD.
In IE, if you have history set to 0 days, and delete temporary files on exit, it does remove these files if IE shuts down normally (although the index.dat files are not updated - they still contain pointers to things that no longer exist, which includes the name of any URL you visited). However, if IE crashes for any reason, then the history/temporay cache files for your last session are left on your HDD, and will never be removed unless you manually delete them.
Cookies are a slightly different issue, as with IE6/Netscape and/or various third party products, you can choose whether or not to accept cookies on a site by site basis.