Use Firefox as your browser (because it offers greater flexibility than Internet Explorer when it comes to choosing which data to delete):
http://www.mozilla.com/en-US/
To delete all of the files you refer to, either go to Tools and click on 'Clear Private Data', or simply press Ctrl+Shift+Delete.
If you go to Tools > Options > Privacy you can put a check mark alongside 'Always clear my private data when I close Firefox', so that you don't even have to remember to clear the filers. While there, click on 'Settings' to determine exactly which data is cleared.
If you insist one using Internet Explorer (why? why? why?), there's a similar facility under Tools > Internet Options > Temporary Internet Files. You can simply click on 'Delete files' or use the 'Settings' button for more advanced control.
Chris