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Go into Windows Explorer, and delete the contents of your Temporary Internet Files. (Should be in C:\Documents and Settings\YOURMACHINE\Local Settings\Temporary Internet Files.)
Sometimes just clearing things through the Tools menu in IE doesn't finish the job.
Also, if you leave your machine on all the time (or close to it), reboot. Yep, the old Win95 solution to all things problematic. After you've restarted and before you open anything, in Windows Explorer, clear out your C:\Documents and Settings\YOURMACHINE\Local Settings\Temp and Termporary Internet Files directories. ALSO, empty your recycle bin.
I know I've seen the problem you've described, but I don't quite remember if I had to do more than just "routine maintenance" to fix it.
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