If you don't have a specific program logging AIM chats, I don't know about MSN..........then there should be no logs. And if your a newbie your probably don't have to worry about it.
On some IMs, you have to disable keeping logs in the IM preferences. If you don't, then there are log files!
If you use something like Trillian, then the log files will be in a file like: C:\Program Files\Trillian\users\default\logs. If only using an IM, check for this file (or something similar): C:\Program Files\MSN Messenger or C:\Program Files\MSN Messenger\users\default\logs.