Hi, the url's are stored in an index.dat, as I have already said.
If you can't get rid of them, try the following. Download Total Commander, a file manager.
TC is available at
http://www.ghisler.com, shareware with one nag screen at startup but fully functional, works with all Windows (from 3.1 to XP, all 32-bit but the 3.1 version).
No garbage in the registry.
This tool will show you all of your index.dat files where explorer will only shows you 3 or 4 of them.
You will have to check an option here : Configuration -> Options -> display tab : "show hidden/system files"
Then, press ALT+F7 and search for index.dat on your disk (don't forget to search on the entire disk).
When the search is done, you will get a list of the files. Click on "Feed to listbox". The index.dat (with the full path names) are now in a column. Select them all (ALT+ "+" from the numeric pad).
Then press ALT+F7 again and in the "Find text" box, enter a part of the url you see in IE. You should then see which index.dat is concerned. If you don't find the urls, delete all the index.dat files, now that you have the full path names.
Spybot could also help you to delete a "locked" file or folder.
BTW, the purgeie.com site has some pages with very interesting information about IE's cache and history.
HTH
Pierre.