hey, my friend sent me some nasty porn images but then cancled out, but the tiny thumbnails were still there, I'm wondering where they save to so I can go delete them, I don't want my parents to find this stuff on my computer again, or I won't ever be able to use it again! Please helP!

Start > Run > %TEMP%\MessengerCache

you can safely delete everything in this folder. Among its contents are custom emoticons your contacts send to you, contacts' display pictures, voice clips (I think?), and of course file transfer thumbnails.

You're worrying way too much. I highly doubt they're going to check your cache folder. In most cases, the cache is deleted when you restart your computer. Use MeEtc's method to delete it. If you want to delete all kinds of cache, use CCleaner, which also deletes MessengerCache.