You had to have changed the message archive settings to "Yes, save all of my messages," in Yahoo Messenger preferences in order for it to have archived your messages. Sorry, the chat in yahoo mail has no archive or chat message history feature.
LEARN ABOUT ARCHIVING MESSAGES ON YAHOO! CHAT
YAHOO! MESSENGER
Here are tutorials about managing your archives in the full version of Y!M:
http://help.yahoo.com/tutorials/ms9/mess/im_archive1.html
And if you ever uninstall/update Yahoo Messenger or get a new computer and want to copy your archives here are the instructions for that: http://help.yahoo.com/l/us/yahoo/messenger/messenger8/messenger/mstacopyarchive.html
YAHOO! MESSENGER FOR THE WEB
Learn about Instant Message History for Yahoo Messenger for the Web: http://help.yahoo.com/l/us/yahoo/messenger/web/web1/history/
The difference in how Yahoo Messenger for the Web saves archives versus the full Yahoo Messenger program is that on the web messenger, archives are stored on the Yahoo servers and in the full program they are stored directly on your computer.
I tested out the instant message history of Y!M for the Web recently for somebody and it was not working right. Maybe it was only a temporary glitch.
CHAT IN YAHOO! MAIL
Please note that at this time there is no chat history or archiving feature in the Yahoo! Mail chat. The most you can do if you want to save a chat session is if you are using the All-New Yahoo! Mail is to turn the chat into an email and send it to yourself. This feature is not available in Yahoo! Classic Mail.
http://help.yahoo.com/l/us/yahoo/mail/yahoomail/chat/chat-08.html;_ylt=AsrVn_4vjpX3HmYC38YUdkhq5yN4