I know that you can't find "index.dat" in XP windows explorer without knowing where it is and manually typing the path into the address bar.

However, while cleaning some viruses off of a teenage relatives machine, AVG found some infected dual extension files in:

"C:\Documents and Settings\All Users\Documents".

Even with "Show hidden files and folders" enabled and "Hide protected operating system files" disabled that folder isn't visible in windows explorer.

So I had to manually complete the path to get in there. I was then able to manually delete the infected files.