Go to Tools, Internet Options, General tab.
That should do it.
If you want complete privacy though, this can be achieved by making these files unrecoverable from the hard drive, after deletion.
Download Spybot if you haven't already, and go to Mode, Advanced Mode.
Then go to Tools, Secure Shredder.
The templates drop down list then allows you to add the files from IE, and to shred them how many times you want, making them almost impossible to recover.
I hope this helps