I expect they are your temporary internet files.
These are saved onto your hard drive whilst you're surfing, so that when you re-visit a page images that you've seen before can be loaded from the HD instead of being downloaded, thus speeding up your surfing.
If it is this, you can safely delete all the files in the directory. You will find that there will also be some web pages, applets and the like. This can all be deleted, too, just bear in mind that if you don't change the internet settings, the directory will start to fill up again. If you're not pressed for disk space, I wouldn't bother clearing the directory.
The settings can be changed under 'Tools>Internet Options' (for Internet Explorer).