hmm, I swear an explanation of c:\windows\cookies\index.dat was on the boards in the last couple of months, but I can’t find it.
It’s related to cookies somehow. If you’re concerned about your privacy, you can put a command in your autoexec.bat file to delete it every time you reboot:
del c:\windows\cookies\index.dat (or something similar)
I think Windows will just recreate it. Alternatively, you can make a read-only directory called index.dat in the cookies folder, but I hear that creates problems when you try to download things from the web. Wouldn’t recommend it.
The file is unmoveable because it’s being used by Windows. The same is true with any number of .dll files in the windows directory. If you are after the perfect defrag, I suppose you could reboot into DOS mode, delete the file and then defrag from DOS.
I don’t think it’s worth the effort though.