It takes care of the usual places- cookies, temporary files, recycle bin- and other, more discrete places as well. To top it off, it will clean up your registry and help with programs on startup and removing programs.
If you're suspicious of any leftover files or folders, you may want to run some virus/malware scans.
I recommend A-squared Free, Avast! antivirus, and AVG Antispyware if you want to download programs.
In Vista, Microsoft has decided to give the status of a Protected System Files / Folder to the cache, so you may not be able to access it easily. You wont be able to delete the Cookies folders as they are system folders.