I've being arguing this point for a long time, I am not defending Microsoft I'm just being fair to them. These files are no big scam to find out what everyone is looking at on the Internet if they wanted to do that they would've come up something far more devious than this.
On Windows 9x I'm sure the contents of the files still remain after you've deleted your temporary internet files, but with Windows XP the files still remain in place but their contents have gone.
Try this, in your normal user account browse the Internet for anything, and remember some of the websites you've visited. Create annother user account as WMD said and look at the files in Explorer, look at the size of the index files, veiw them with a text editor and you'll see the names of the pages you've visited. Now log off your special account and log back in to your normal account, delete the files the usal way in Internet Explorer. You'l find when you view them with you other account they'll still be there but they'll be a lot smaller and if use a text editor you'll notice all the website names are gone.
This is the case with my machine running XP home edition sp 2 with all the updates installed, don't know about Windows 2000, but the article is out of date as far as XP goes.
Appendum:
Here's a screenshot of the index.dat files open in notepad, before the deletion is on the left and after is on the right, notice how all the porn sites have gone they've been replaced with a repeating pattern of bytes, the only site left was the MSN (the default homepage in IE).
So for your self I've uploaded my index.dat files, you can view them in a text editor such as notepad, I recommend using the word wrap option.
index.dat before deleting.
index.dat after.
I was wrong about one thing the files are the same size before and after, but the information contained with in them has gone - it's been overwritten.
Of course this doesn't prove anything, I could've easily faked this, so I urge you to do the same experiment so you can see for yourself.
EDIT:
I forgot to say that Microsoft didn't mean any ill intent by not deleting the files in Windows 9x it was just a bug caused by poor programming.