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Excerpts from another related article:
"The first option is to change IE's configuration so that it doesn't save cached pages when you close the browser (i.e., IE clears the contents of the Temporary Internet Files folder at shutdown). To enable this option, choose Internet Options from the View or Tools menu. On the Advanced tab, go to the Security section and select the Delete saved pages when browser closed or Empty Temporary Internet Files folder when browser is closed check box. (These options delete cached pages, but not cookies, from the folder.)
If you need to make this change on several machines and you're willing to reinstall IE, you can use the Internet Explorer Administration Kit (IEAK), the Outlook Deployment Kit (ODK), or Microsoft Office 2000 Setup (essentially a superset of the IEAK and ODK) to establish this option as a default for the browser. However, if you use the IEAK, ODK, or Office 2000 Setup to modify this behavior, you'll need to set an additionaloption: During setup, clear the Disable Roaming Cache option. (This option appears during the setup wizard, within the User Profiles section of the System Policies and Restrictions configuration.) Although this step seems counterintuitive, the Microsoft article "How Not to Save Cached Internet Files with Roaming User Profiles"
http://support.microsoft.com/support/kb/articles/q185/2/55.asp
assures that it is the appropriate setting.
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