In MSN Messenger, select the Tools menu, Options... menu item, and then the Messages tab. At the bottom of the dialog is an item labeled: Message History. Select it, and and your conversations will be recorded in the directory listed in the box bellow. (Of course you can set that to be whatever you like, but the default directory is probably fine for most.)
http://ask-leo.com/can_i_retrieve_old_msn_messenger_conversations.html
u could download msn plus then just put ur curser over the contact and a little thing will appear click this then click contact chat log.
click on the messenger plus link in the Info and Knowledge section and click Get it for messenger plus 3 then just download.