Someone once showed me how to do it and the reason is kind of funny. Several years ago an employee used an office computer inappropriately, instant messaging along the lines of Foley. The employee didn't close out the IM window so it was discovered, reported it to me and then I had to go to HR and find out how to handle. I was instructed how to save it for disciplinary reasons.
Since the ONLY two people I IM with are my daughter and my husband and that's at/from home, I have nothing whatsoever to worry about. I also always shut it off, when I'm finished talking. LOL
I just never even thought about saving any of IMs...which is why I guess I didn't know they could be saved. :-)