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Internet Explorer Does not Delete Temporary Internet Files on Close
 

This issue occurs because a file lock is placed on temporary Internet files by third-party programs, such as antivirus software, when Internet Explorer tries to perform the temporary file deletion routine. This issue may occur if you try to manually delete the temporary Internet files or when you close Internet Explorer.

This issue may also occur if a central repository is used for temporary Internet files such as a network share, to store temporary Internet files for more than one user in the same folder. Microsoft does not support a configuration. The temporary Internet file location must be set on a "per user" basis, that is one folder per user. This is default behavior for Internet Explorer.

http://support.microsoft.com/?kbid=814782