While hinted at already, cached files save you bandwidth and time. Any time the browser comes across a file it's already downloaded, it just loads the local copy instead of downloading a new one.
This method is better for everyone involved.
1: It save you time and bandwidth.
2: It helps reduce traffic on the Internet, so you can get the content you want, when you want it.
3: It helps reduce the bandwidth use for the provider of the content you're seeking, thus allowing them to allocate more monetary resources to improving other areas of their service(s).
4: In this day and age of cheap, plentiful disk space, it's not worth quibbling over
All web browsers do this, for the reasons above, and plenty of others. It doesn't matter if it's IE, Firefox, Safari, Konqueror, Opera, or any of the others. It's a good idea, and that's why it's in every browser. You can either learn to live with it, or stop using the Internet. Choice is yours.