When I use Delindex on my machine (Win ME)..
I insert a START UP DISC in the floppy drive, then start the PC. The PC is programed to search the 'A:' drive before loading Windows. I then get a few options on the black screen that shows.
I select 'start PC without CD support' using the keyboard arrows and press enter (mouse does not work in this mode).
You then get a black screen with something like.....
A:\>
text showing, You have to type
C:
so it reads....
A:\>C:
then press enter.
The next screen shows
C:\>
Here you type delindex.bat so it reads
C:\>delindex.bat
and press enter.
You are then given a choice of a 'more' or 'less' option... that is- pressing L or M will automatically select and action this option. 'more' deletes other stuff aswell as the contents of the index.dat files.
If you selected the more option, a screen will show you how much space has been salvaged by deleting the contents of these index.dat files. You then remove the START UP DISC and press CTRL ALT and DELETE. This restarts Windows and you are back to normal mode.
Although I said it's the contents of these files that is deleted, I think it's the file it's self that is deleted, but on restarting, Windows recreates this file, only it will be without your history contained in it.
I don't think I have left anything out.... but I may be corrected.
Before using Delindex.bat I would download and use the Spider program which will show you what history is being deleted. You can use the Spider program again afterwards to see the index.dat files will be empty.
Spider is free and available from...
http://www.fsm.nl/ward/
If you are trying to hide your tracks of websites visited, I think you would also need to defrag then add more data to your hard drive (eg copy a music CD to the drive) to cover what has been deleted. I have heard of programs that claim to recover deleted files but I have never used one.
If this has helped you please post back for others to see.