First off, sounds ilke you have a nosy roommate, which is too bad. If they're sneaking into your private discussion transcripts, it kind of makes me wonder what other areas of your life they're examining. But roommate counsel is beyond the scope of this question, so let me show you how to disable the automatic chat transcript feature of Microsoft's MSN Messenger application.

Start up the application. Now, go to Tools --> Options and click on "Messages" in the left column.

You'll see a window like this:

The key field to note here is the Message History about 2/3 of the way down the screen. I'll just bet that you have the field Automatically keep a history of my conversations checked. Uncheck it, then while you're there, look at where the transcripts are being saved and use Windows Explorer to pop into that folder and delete everything archived too.

Once you've changed this setting in the Options window, click on "Apply" and you will be able to have private chats without anyone else sneaking a peek at the transcript in the future.

Since it sounds like you have some trust problems with your roommate, i would suggest that you check this setting every time you run the Messenger program, or even turn it off when you start and turn it back on when you're done. Your call, obviously.

And good luck to you!