These can build up over time and take up disk space.  Even more bothersome is that instead of getting new pages each time IE often takes the page out the temp internet files.  This can be a problem if you are viewing a website that is updated all the time.  If you are on a slow connection such as a 56K or lower then this can be good but if you are on a fast broadband connection, like me, then you can get away with decreasing the size of your temp internet files to just one meg without any preformance decrease.

Launch Internet Explorer.
Select the Tools from the menu bar.
Then select Internet Options... from the drop down menu.
Once the internet options has loaded click on the general tab.
Under the temporary internet files section click the settings button.
A settings window will load. Slide the slider all the way to the left so the size indicated in the text box on the right is one.
Click OK
Click OK