Will this program get rid of those nasty pictures I stumbled across when viewing newsgroups?

Yes, but this is an option. To tell CleanUp! to empty the newsgroup caches each run, then make sure the "Delete Newsgroup Cache" option is checked in the General tab of the Options dialog.

You can optionally have CleanUp! "unsubscribe" you from all newsgroups by clicking on the Options button, and ensuring the "Delete Newsgroup Subscriptions" checkbox is checked. This is the default when running CleanUp! in "Standard CleanUp!" or "Thorough CleanUp!" mode.