This is a very useful feature since it saves disk space and also keeps the websites that you downloaded private. Lets say that you were doing some online banking. All of the HTML files would be downloaded to the temp internet files by default. Someone with few computer skills can then copy those files out of that directory and view them. That is why it is good to have those files cleared automatically.
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 advanced tab.
Under security find where it says Empty Temporary internet files folder when browser is closed and check it.