Most people around here (myself included) would suggest that you use a decent browser instead of IE. Firefox is the most popular:
http://www.mozilla-europe.org/en/firefox/
However, to answer your question, go to Tools > Internet Options.
You'll probably find that the 'General' tab is already selected. If not, click on it.
Under 'Temporary Internet Files' click 'Delete files'
(Those instructions relate to IE6. There might be minor differences in later versions of IE but you should still be able to find what you're looking for).
Chris