Many cleaner type programs are designed to perform this action automatically.
A problem for you is seeing this file in the first place so that you can apply the necessary permissions to prevent its unauthorized deletion.
You might want to research the whole story at this site. The article is Windows 9x related but the story of Desktop.ini and Index.dat files is pretty much applicable to XP.
There are numerous ways to view and delete index.dat's. I have been doing it for years. The real problem is that the file is regenerated anew whenever you screw with it. Yes, the previous data in it is gone but it's basic structure returns to keep track of everything. That's what ALL the index.dat's are there for.
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