If you really want to go about it well, you might consider the following:
* Empty the temp files from within your browser
* Crumble the cookies contained in your profile
* Scan with a tool, such as Adaware
* Scan for viruses with another tool
I do not support the idea of going into the C:\Windows and looking for things to squash. People can get delete happy, and that is a bad thing.
Also, if you do crumble your cookies, you might loose saved passwords to your online banking and things of the like. But from a security standpoint, would you really want to save that stuff on your computer? Think of the other processes that can eat your cookies from the cookie jar.
A couple things to keep in mind regarding "Temp housecleaning":
1. There's a difference between the Temp and Temporary Internet Files folders, so you should be specific when referring to either. When you delete via Internet Options, you are deleting the contents of your Temporary Internet Files folder, but not your Temp folder.
2. Depending on your version of Windows, you may have multiple Temp and Temporary Internet Files folders. For example, in addition to the C:\Temp and/or C:\%WINDIR%\Temp folder, Win 2K and XP also have separate Temp and Temporary Internet Files (and Cookies) folder for every account on the system, including "non-user" accounts like Default User, NetworkService, and LocalService. Unwanted cruft (including virus/spyware components) can build up in all of those locations.