There's lots of reasons for emptying the browser cache automatically… privacy, security, not wanting milions of tiny files on your hard drive…

To enable this setting in IE7, just go to the Tools \ Internet Options menu, and then click on the Advanced tab.

Make sure you check the checkbox for "Empty Temporary Internet Files folder when browser is closed".

It's useful to note here that if you have an application open that uses an embedded IE control, the browser cache sometimes won't be emptied until that application is closed as well.