I can follow all the way until Internet Explorer. I don't show this.
No "Internet Explorer" shows in my version of Vista Home Premium 32bit. I am logged on as Admin. Is there something else I need to do to see the folder?
You could also take a look at the DNS entries incase they delete the cookies after you disabled inprivate browsing. just open up the command prompt and do ipconfig /displaydns and go to any suspicious looking sites. Oh and I would just have a serious talk with them as well, if you need to take these extra measures they might be doing something that could potentially harm them emotionally or mentally.