Bit odd you ask such question here, whilst there's a newsgroup for managed testers but ehmm, you can find these files in:
C:\Documents and Settings\<Windows Account name>\Local Settings\Application Data\Microsoft\Messenger
(on WinXP, might differ slightly if you are using Vista)
If they aren't then make sure you've set messenger to create them: Tools > Options > Connection, click "Advanced Settings" button and make sure that under "Windows Live Messenger settings" the box infront of "Save a log of my server connections..." is ticked.
Edit: you're welcome
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