IF you do send voice messages on MSN you can save those. Also the one's you receive. However if you are doing voice chatting as in calling the other computer you cannot save it. As xeno said there are recording sofwares available for download which record in line so anything that is coming out of your audio card will get recorded. I have used this many times and even have the software if you want to know about it.
thank you aisha. you are alwys very helpfull to everyone.