Open MSN Messenger, and go to Tools --> Options.
then go to Messages, and you will see the option to keep a log of conversations.
Underneath that, you can also decide where they are logged.
To then open this file, just go to that folder and double-click the log you want.
I believe they are saved as rtf files, Rich Text Format.
Be aware that any emoticons, nudges, winks etc will not be saved so you may have to fill in the gaps caused by them.
Hope this helps.
