Yeah, the convo's gone. Your PC automatically deletes all traces of it when you exit the chat I think. If you don't want to download any extra programs to save future chats though, follow these steps:
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 your conversations will be recorded in the directory listed in the box bellow.





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