Hi, its a bit pot luck and this may be slightly different depending on which version of MSN you have installed but I'll do my best to describe what to do...
First try this - go into My Documents. My Recieved Files. Is there a folder in there with all the conversations in?
If not, you need to get into the options dialog for messenger. On my version you click on the name at the top of the oblong MSN window and choose "Options".
In the Options dialog there should be a "Messages" tab, on this there's a checkbox saying "Automatically Keep a Record Of Conversations?". If its not checked then check it and you can see everything from now on. Below this it should tell you where it is saving the conversations to (which in my case is in My Recived Files as above)
Off topic though and without seeming like I'm telling you how to raise your boy - Are you sure spying on him is the best way? Or will he just feel more alienated when he finds out you've spied on him? Just talk to him mate, he might open up to you first.