Index.dat files, known around the internet and the tin-foilers as "the secret files", were introduced in Internet Explorer 4 as (according to Microsoft) a way of easing the workload on the system resources, when you surfed the internet. Prior to index.dat, these files were known as "Mm256.dat" and "Mm2048.dat", what do the numbers represent?, your guess is as good as mine.

When you surf the internet, a cache of each page is stored on your computer, and details of the page, stored in the index.dat files. This was supposedly so the page would load quicker the next time it was you visited it (this part is atleast partially true). However, the index.dat files themselves contain more than just your surfing history. Everything from the site's you've visited, to the e-mails correspondence, is logged in these files, even your computer usage history is stored here (i.e. information on files you've opened, created and deleted).