Internet Explorer takes a while to clear everything. It's worse if your computer is built something more than 3 years ago and has never upgraded.
One way is to use 3rd party applications.
CCleaner (
http://www.ccleaner.com/) is one of the suggested ones.
Another one is ATF Cleaner (
http://www.atribune.org/content/view/19/2/). ATF Cleaner requires no installation, which makes it easy to use.
I've also created a thread on it (
http://www.sgforums.com/?action=thread_display&thread_id=238444) some days before.