Depending on your Messenger settings:
If you have unread offline messages, you should see a gray icon in the top right corner of Messenger. You will also be presented with a toast message when you login, saying you have pending offline messages. Click this icon or the toast to read the offline messages (and thus marking them as 'read').
screenshot of the 'offline messages icon' in WLM 2009
In the other case, when you have enabled "
show me offline messages when I login" in Messenger's preferences, chat windows will be opened with the offline messages in it. When you close those chat windows, the messages will be marked as 'read'.
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You can not recover offline messages once you've read them.
However, if you have enabled chat logging in Messenger, they will have been logged in the chat logs.