Like any other communication on the Internet, Instant messages are open text communications. That means that they are easily intercepted. Like talking on an old-fashioned telephone party line, others can intercept and watch everything you are saying. Instant messaging used without encryption over the public internet can easily be intercepted and read. There is on-going discussions over the weaknesses of Instant message protocols, how easy they are to reverse engineer, and how easy is is to put a "man in the middle" (eavesdrop) during Instant Message communications. The weakest of the popular Instant message clients (by popular opinion anyway) is ICQ, followed by AIM/Netscape/AOL Instant Messenger, then Napster's client. If encryption is not used during Instant Messaging the communications can easily be intercepted and archived.
Where the source got copies of these Instant Messages is still an unanswered question. They are not normally archived like emails are.
Instant Messages can be saved as Word docs if one chooses to save them. I do it at work all the time in instances where I want to cya or in order to have a hard copy to follow up with.