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.
Thanks for the replies. The error message is: 'the process cannot be started because it is being used by another process'. I am using IE 8 and MS Windows XP SP3 on a HP laptop. I hope this helps. Thanks
It's as Joel and I suspected. What is probably happening is that Windows is allowing IE to start up and lock the file before Eraser can get to it. You could use an application such as Lockhunter to check this.
You can find instructions, such as those on this page, for deleting index.dat, and if you have XP Pro you can do it automatically. You still need to erase the free space on the drive to get rid of it completely. As I said, if privacy and security are a concern, don't use IE.