The "index.dat" files are opened by Internet Explorer and Windows Explorer always with a write lock, better by a DLL used by both applications. So no other application except this DLL can write or delete these files while the DLL is loaded and running in background. Windows Explorer is the default application for the graphical user interface. So normally whenever the graphical user interface is loaded, it's not possible to delete these files.
UltraSentry can delete the "index.dat" files, but only while you are not logged in or logged in with a different administrator account (to delete all "index.dat" files of all other users) or the Windows GUI is not loaded, for example during boot time.
So you have to use one of the default profiles or create a new one, which cleans the IE browser cache, history and cookies. But when you execute one of these profiles, you will see a failure notice, that UltraSentry can't delete the "index.dat" files yet, but will do that on next boot. And UltraSentry will really do it on next Windows boot.
Best is to use one of the default profiles or your self-made profile and activate the scheduler and setup a task to run the profile on every user log off and/or Windows shutdown.