Try this:
Open My Computer. Double-click the C: partition to view its contents.
Double-click the folders Documents and Settings -> <yourusername> ->
Local Settings -> Temporary Internet Files. For <yourusername>,
substitute your login name.
You may not see the Local Settings folder as it is hidden. If this is
the case, go to the Tools menu and click "Folder Options". Click the
View tab. Under Hidden files and folders, select "Show hidden files and
folders". Click Okay and continue.
In Temporary Internet Files, type "\Content.IE5" at the end of the
address bar (without the quotes). The address bar is directly below the
toolbar. Note the back-slash (\), not a forward-slash (/). Click The
green Go arrow.
Click the Search button in the toolbar. You will search "All files and
folders". For "All or part of file name", type ".exe" (without the
quotes) and click "Search".
Does anything appear in the search results?