What is the error message, please? And, assuming that the index.dat file you are trying to erase is the one that relates to IE, which version of IE are you using?
At present I'm guessing, but I suspect that something that starts with Windows is locking the file, and not releasing the lock. It may be that the only thing you can do is run Windows in safe mode, and see if the file can be deleted. Then have Eraser wipe the free space on the drive.
This might be a moment to consider using a browser other than IE. I use Firefox, which is quite easy to clean.
David