There are some hidden directories under every user directory which store all your program settings, Firefox or Internet Explorer caches and so on.
To see them you need to click "Organize" in the exploer window, then go to "Folder and Search options". Under the View tab there is an option to "Show hidden files". Selecting that and then clicking apply will show you these extra folders.
Whatever you do, do not delete these folders (especially the "Appdata" folder) as they hold data necessary for your programs, hence why they are hidden, you can cause damage to programs that are installed and may require you to reinstall them.
To be completely honest, unless you have a real reason to see the hidden folders or know what you are doing I would leave them as hidden.
If you have to clean up the system to free up some space I would recommend a tool such as CCleaner which can remove or clear out many types of temporary files that you do not need, and will do so much more safely than simply deleting the whole lot.