| Yes. There are ways, more than one. I don't know what operating system you are using. It would help if you would tell us what operating system you are using.
I do know that on my machine, which is running in Windows XP Professional Edition, that you can go to the search function on the start menu and type in cookies. Folders with cookies in them will appear. The dates by the cookies will give you an idea as to when someone accessed a certain site.
There are also other ways to find out, but it would help to know what your operating system is.
I am curious as to why this is a concern for you? If you would tell us a bit about why it is a concern, we may be able to help you further.
If you think that someone may be downloading something that they shouldn't, then that opens up the possibilities to find things in other ways, if indeed someone has been downloading things that they shouldn't have been. | 
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