The format is binary ill documented and proprietary - standard M$. You could use Win32::OLE to get at it via Explorer but given that the URLs are in plain text within these files you can just do something like this to extract them into a file:

 perl -ne "BEGIN{$/=' '}print qq!$1\n! if m!(http:[\w\.\-:/]+)!" index
+.dat > outfile.txt
[download]

As it is a binary file we can't depend on the default "\n" input record separator. We use a single space as there are space chars around every URL so we get a single URL per chunk of input. Kinda like newlines but not.

I have IE6 on Win2k but I don't have any files on the system called MSHistNNNNN.. Eyeballing your files it looks like the last 8 digits are YYYYMMDD. It looks the same way IE displays it with individual files for the last 7 days then some sort of archive for 2 and 3 weeks ago.

HTH