Well, I'm not familiar with 9x, but XP+ would show those files after enabling some options (unlike what the article claims). The index.dat's are indexes to cache files on disk, every browser that use disk cache has one. Microsoft should have put it in the cache directory, and the file should be cleared when the cache is emptied (the article claims that only the cache is cleared, the index is kept intact thus still contains list of recent websites you have visited, I haven't check this but if so it's really strange). Still I don't think it's some kind of conspiracy. And Outlook is a database. Basically every database implementation would just mark an entry as deleted instead of actually removing it. It's the same with files on your harddisk, your deleted files are still on the disk until the space is used by something else. I'm not defending Microsoft but that article is borderline misleading.
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Its a pity Microsoft dosn't let you symbolic link something to /dev/null
If you just want to prevent IE from creating those index files, delete the file and create a directory with the same name.