I do not if you have done but if you download 'messenger plus' and install it, it can help organize the chat as well as save as well. With that you can also save the log of who came online when, changed the display name and stuffs like that. I had installed primarily to add tabs ( like in the IE or firefox) so that I could chat with 10 people at the same time without having 10 bars at the bottom of the screen but now I am loving it even though I very rarely chat with multiple friends thesedays.

Well, this is for the future, I do not know how you can retrieve the old messages.