In fact I am not sure what the next steps are; I'm struggling to understand this problem.
Can you see the files in Explorer? The path is C:\Documents and Settings\<username>\Local Settings\Temporary Internet Files\ {where <username> is your XP account name}
The TIF folder may be hidden so open Explorer, (Windows Explorer or My Computer) and go to Tools > Folder options. In the new window click the View tab and set the following options;
Hidden files and folders - Select "Show hidden files and folders".
Hide extensions for known file types - De-select this.
Hide protected operating system files (Recommended) - Select this, (but de-select it when you are finished with Explorer).
Click Apply/OK
Do any files display in that folder?
Is "InPrivate" browsing selected in IE8?
Can you view the History files? Click the star in the menu bar then select History.
What security software are you using, (anti-virus, anti-spyware, anti-malware)?
Same problem with other browsers?
Try a test. Open IE in its (No Add-Ons) option. That is Start > All programs > Accessories > System Tools > Internet Explorer (No Add-Ons).
This disables all add-ons and 3rd party toolbars temporarily. Carry on surfing for a while, then see if TIF, history and cookies display in Internet Options.
Any other problems on this computer?
Mark