1. Click the icon to open the browser menu.

2. Select Settings

3. Under the search, search for "clear"

4. In the search results, click on "Choose what to clear every time you close the browser"

5. Select "Cookies and other site data" and "Cookies and other site data".

Optionally you can clear history too, but it is not needed. If you go to sites that shouldn't clear data, you can add them under "Don't clear"

When done, close the Settings tab, and close the browser. With these options set, Microsoft Edge will clear all temp files automatically when you close the browser.