If you do not wish your chats to be logged make sure you have disabled the options in messenger:
Tools>Options>Messages
then ensure that "Automatically keep a history of my conversations" is unchecked
If you have Messenger Plus! Live then go to:
Preferences>Conversations>Chat Logging
and ensure that "Enable chat logging by default" is unchecked
This will ensure that no-one can read your chat history.
If you wish to keep a chat history but don't want people to be able to see it, then use Messenger Plus! Live's encrypted logs setting, which will require a password to open your chat logs.
If you need further help please don't hesitate to ask