According to this bulletin written in November, 2001 by the folks "Microsuck", Windows has a nasty habit of doing a really good job of hiding a lot of things that you might not want hidden away. I haven't looked into the veracity of the claims, but assuming that there's some truth to it and given the age of the bulletin, it begs the question, does XP do the same thing? And if it does, the next obvious question is "Does Linux"? I wonder what the folks at Microsoft (Scoble?) have to say about this one.

Microsoft's Really Hidden Files  There are folders on your computer that Microsoft has tried hard to keep secret. Within these folders you will find two major things: Microsoft Internet Explorer has not been clearing your browsing history after you have instructed it to do so, and Microsoft's Outlook Express has not been deleting your e-mail correspondence after you've erased them from your Deleted Items bin. (This also includes all incoming and outgoing file attachments.)
And believe me, that's not even the half of it. When I say these files are hidden well, I really mean it. If you don't have any knowledge of DOS then don't plan on finding these files on your own. I say this because these files/folders won't be displayed in Windows Explorer at all -- only DOS. (Even after you have enabled Windows Explorer to "show all files.") And to top it off, the only way to find them in DOS is if you knew the exact location of them. Basically, what I'm saying is if you didn't know the files existed then the chances of you running across them is slim to slimmer.