How do I delete the hard drive space created by watching movies and listening to music online?

I recently started to watch movies and listen to music online and have realized that this information is starting to take up a serious amount of my hard drive space. What is wrong and how do I fix it?

go to start button> all programs> accessories> system tools> Disk Cleanup

*after you cleaned it all up.. compress your iles.. using Disk Defragment..

go to start button> all programs> accessories> system tools> Disk Defragmenter