You need to make sure that it's set up for saving conversation history, etc - here's how you do it:
on the MSN main menu bar, click "tools", then "options".
next click on "messages".
Below "message history" will be "automatically keep a history of my converstaions" - make sure that this box is ticked.
Below that, it will show you in which folder the conversations will be saved in - you can change this if you want.
(I don't condone spying - but I'm sure you have your reasons .... I'd probably do the same if I needed to, so I hope that this helps).