DELETE
When you click on delete, it gives you the option of deleting your cookies; Temporary Internet Files; History; form data - like name, address, email address - that gets stored associated to a field; and passwords associated with a website.
MS has also given an option Deleting all of the above with a single click.
SETTINGS
You might want to change the settings, like how much hard disk spave should be available for Temporary internet Files - Keeping the Automatically option is recommended.
Also how many days would you like IE to keep the history of web pages that you visited. Some keep at 7 days or even 1 day - depends from person to person.
You could also choose your own settings, depending on your use.
When you say it deletes "Temporary Internet files" is that things you might download to view like news clips and the like? And once out of the Temp Int Files do they remain on your harddrive any place else? I am getting concerned about space remaining on my harddrive