Go to the "Search Mail" box in the Yahoo! Mail page.
Enter the Yahoo! ID, Name, or string of the conversation that you would like to find in the "Search Mail" box and click Go. The results will be listed in a new tab.
Once the search is complete, you can use the options under "Narrow Results" on the right side of the page to get more precise results. NOTE: You may need to click Retrieve Refinement Options in order to see the list to the right.
Click the @C@Chats folder from the options to display all of the Yahoo! Messenger archives.
You need to sign out from the messenger in Yahoo Mail. Click the yellowish lightning icon next to Online Contacts (it's grey in the screenshot because I'm signed out).
Best Answer
According to Yahoo! Help: