I use XP so cannot speak accurately for Vista.
Windows has traditionally had "index.dat" files which store the url's, date, time and username for each website visited. Most of these files are locked and cannot be viewed or deleted by straightforward means.
Try doing a Windows search for files of that name.
Free viewers and cleaners are available. Google will throw them up.
CCleaner is a good free program for getting rid of internet rubbish etc.