In a roaming profiles environment, IE cached files are copied to the user's profile folder when he/she logs off. The cached IE files are copied back to the local computer the next time the user logs on. This can be time consuming and can use a lot of server space. To alleviate this problem, configure a couple of settings in Internet Explorer.
Open Internet Explorer and go to Tools | Internet Options
Click the Advanced tab and scroll down to the Security section.
Select the Empty Temporary Internet Files Folder When Browser Is Closed check box.
Click Apply and OK.
With this option enabled, Internet Explorer deletes cached pages when IE exits but leaves the cookies intact.