should be somewhere in the internet options too. Atleast with firefox it's in there, haven't used IE for years so don't remember but I think that u should find something.
If you want complete privacy though, this can be achieved by making these files unrecoverable from the hard drive, after deletion.
SPYBOT:
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.
Also, if you have the new Beta IE go to tools internet options, then click the delete button on the General tab and it will delete all cookies files and history in one click A little different from the old version but very similar