There is a program called Messenger Plus, It's a 3rd party peice of software. Have you installed this or similar. Its not a Trojan.
Once this is downloaded, you need to Unzip it then Install it on your machine. After this Reboot and all Messenger conversations should be logged to your "MyDocuments/Messenger Conversations" Or something similar.
You may need to enable logging in the program.. which will appear in Messenger under a "Plus!" toolbar.. at the top of Messenger near where it says..
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