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You can save any IM conversation as a text file and then open it in a text editor.
At any time during an IM conversation, choose Save As from the Conversation menu in the conversation window.

The Save Conversation History window opens.
In the Save Conversation History window, browse to the folder in which you want to save your conversation text, type a name for the file, then click the Save button.
Your conversation is saved as a text file that you can open with any text editor.
You can also archive your conversations in Yahoo! Messenger. By default, all of your instant message are saved during the time you are signed in. When you sign out, the messages are deleted. You can change this behavior and keep all of your conversations permanently, or not save any of your conversations. To learn more, take a look at the Working With the Archives tutorial.