I'm not quite sure what the conspiracy about Index.dat is about, I always understood that it was used to index the temporary folders in the temporary internet files, as temporary internet files is a special folder and made up a number of psuedo-randomly generated folder names in which content is stored.

As for in-private, if it were me I'd probably create the cached page with FILE_ATTRIBUTE_TEMPORARY so that once the page had been displayed it's just thrown away from memory and doesn't touch the disk, assuming that there is available space in-memory so it doesn't have to be paged out.

Oliver