If you want to keep the files you have downloaded buy a separate hard drive they are very cheap now - or a 2 gig pen drive for about �15 or similar just transfer the files to there (right click mouse hold the button down and move here.you don't need to reformat your PC,Also use Firefox browser or you'll eventually be hijacked if using Internet Explorer download here
http://www.mozilla-europe.org/en/products/fire fox/
If you just want to hide your browsing history use ccleaner it's free - one click and it's all gone. download here
http://www.ccleaner.com/
If you are using XP you can't really hde your files- if you want to be sure they're gone - do a search from the start menu - select pictures , or videos or whatever - the way XP is set up anyone can see your files on that computer.
But beware as many porn sites aso download spyware or viruses make sure you have an up to date antivirus