Another answer is to go to internet options the advanced tab, scroll down to security options (that's security options down near the bottom of the scroll in the advanced tab...not the security tab!)
Check the box that says to empty the temporary internet files folder when the browser is closed
That with all the above will clear your cache of all but cookies every time you close the browser, but will still keep session files until you close the IE window...of course it clears it when ALL the ie windows are closed.
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