The default location of your msn conversations would be in your "My documents" and in the folder "My Chat Logs" or "My Received Files" you can then delete them from there just like you would any other file, pressing delete, or dragging them to your recycle bin.
You can also go into your conversation settings under options and change it so that it does not automatically log your conversations. This helps to provide further privacy, especially if you use a public computer frequently.
I just Did that it says no intems im guessing it never saved them then ? :P Thaanks for helping out though :D