Helping people with computers... one answer at a time.
If enabled, MSN Messenger stores your message history in a relatively obscure location, but it's easily discovered.
Where is the message History File saved?
I'll assume you mean MSN Messenger.
Fire up Messenger, Select Tools, Options, Messages, and near the bottom of that dialog you'll find the Message History setting. Enable that and you can see where the message history files are stored or specify the location yourself.