I've found this solution on Yahoo! Answers. Please let me know if this method doesn't work:

"Go to 'Preferences - Archive', then make sure that the option 'Yes, save all my messages, but clear them when I sign out' option is chosen. With that option chosen, messenger will erase all your messages on a daily basis. It's the middle one at the top of the 'Archive' window. Also, try clicking on the button 'Clear Archive Now'."

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