Even though the files are still there the contents are cleared. Try it yourself, clear IE's history, cache cookies ect. and you'll notice the files are smaller than they were before.
If you realy want to delete them you can from the administrator account. You can't delete the administrator's hidden files from the administrator user are as they will be in use, to do that you need to do it from another user area with administrator rights. You just don't need to delete them in Windows XP because IE clears them for you.