I use a program called IEPrivacy Keeper - downloaded from here
Snapfiles. Its freeware and I've tried a few progs from here and they seem to be fine.
It can be added to 'tools' in your ie explorer toolbar and be set to clean whatever you want at whatever intervals - eg on shutdown, on startup or on closing the last ie exploer window etc. You can set it to preserve certain cookies as you direct eg pprune log in and ditch the rest. I have it set to clean at ie explorer close and it can take a bit of time if you've been surfing for a while.