Hello all-
I thoroughly agree that M$ has questionable motives at best regarding the INDEX.DAT file (which appears in many directories...not just cookies) as well as a bunch of their other Windows components. However, I can explain its purpose. It does exactly what its name implies...provides an indexing function so that IE can more quickly & efficiently access cookies (or history or cached web pages) when called upon. It's not unlike the index in a text book...you would use it to quickly locate a specific term on a particular page, thus saving you the time of leafing through the book until you found what you wanted. M$ Office actually uses a similar indexing function through its "FindFast" component. As far as I know, there is no easy way to disable the indexing features of M$ Internet Explorer...so, if you delete the INDEX.DAT it will simply be re-created the next time you open IE.
What troubles me is the length M$ has gone to in making the file difficult to locate and even more difficult to delete. Not only is it hidden, but the entire folder in which it resides is typically flagged with the "S" attribute. Furthermore, the file contents are written in binary form so you need to take some extra steps to be able to read them as standard ASCII. It's also troubling to realize just how much of your long term Web browsing/e-mail history can be discovered by simply viewing the contents of the various INDEX.DAT files.
Anyway, I used to be a Trade/Technical IT instructor, so forgive me for kicking into "teacher mode" in this post. I hope this info was helpful, though.
Cheers.
Chris