Internet Explorer maintains a history of the websites that you visit. The Free Internet Explorer Cleaner marks theses files for deletion so that the next time you reboot (start) your computer these files are deleted and your Internet Explorer history is cleared. You can see for yourself that these files exist simply by pressing the CTRL + H keys while you are in Internet Explorer. The History windows displays websites that you've visited.

The History is maintained in Index.dat files.  You can determine the location of these files by looking in the registry. Check the value in the registry here... HKEY_CURRENT_USER\Software\Microsoft\Windows\ CurrentVersion\Explorer\Shell Folders\History.  You will find a value similiar to...
C:\Documents and Settings\admin\Local Settings\History

If you use explorer to view the files listed in this location you will notice that this is not a simple folder with a list of files. Instead you will see something similiar to "Last Week", "Today" and so on. Still more interesting when you right click on one of these items you get two options "Open" and "Delete".  Now you can choose to delete these items and you will have effectivley removed your Internet Explorer history.