I think you clicked on the wrong link (this is the Windows ME forum), but here's how:
Open up Internet Explorer (assuming that's the browser you are using) and go Tools->Internet Options. On the General tab you can Clear History, Delete Cookies, and Delete Files (temporary internet files).
Alternatively, you can use the free program CCleaner to delete all of that plus erase junk and other temp files all at one time with very little fuss.
Hope this helps,
I can not seem to find in windows explorer to delete unwanted downloads/files. PLease help! THANKS!