I don't know if you need a special add-in, the missus downloaded a "Plus!" add-in and I think it was part of that but I don't know where it came from. The default location for the files is C:\Documents and Settings\\My Documents\My Received Files\\History
To find out if it's set on your install go to Tools>Options, click the "Messages" tab and the option is called "Automatically keep a history of my conversations"
it's nothing to do with msn plus!. if u go tools>options u should find an option of msn messenger saving your conversations as .txt files. in my documents there should be a new folder called 'my chatlogs'