Shoutbox

well if it didnt save it then im afraid theres nothing we can do, its not stored temp anywhere (afaik) and definitely not on any server (invasion of privacy comes to mind)
you may have accidentally disabled logging for just that person (in a convo, Plus! > Log This Chat)

note: have you disabled msn logging because if you havent then msn will automatically log all chats inside your received files folder (by default), its worth a check if its that important