I think this works only if you have Outlook.
Into Communicator, go to Tools > Options > Personal > Personal Information Manager
and tick the "Save my instant message conversations in the Outlook Conversation History folder" checkbox.
If the box is greyed out (meaning, disabled by your IT administrators), you have some hackery to workaround in the comments of the original procedure.
If you don't use Outlook, you are bound to your procedure, but I cannot verify.