What works for me:

1) Navigate to your history folder. One way to get there is

My Computer

Documents and Settings

(your user name)

Local Settings (this is a hidden folder. If you don't see it, click on Tools->Folder options, then on the View tab, then check "Show hidden files and folders")

History

2) Now you should see a bunch of folders like:

10 weeks ago

9 weeks ago

8 weeks ago

and so on.

Click on the oldest folder, hold down the Shift key, and hit the Delete key.

Double-click on the next folder, type Ctrl-A and Shift-Delete.

I have to do this about once a week.