I then had a look at my yahoo mail inbox again. And on the top left are icons for mail, contacts, calendar and messenger. Click on messenger and a box appears on screen, activate this and browse for your friend and 'show recent conversations' and then 'show full history' and you should see an email like display with all the daily conversations which you can expand. This is presuming you have 'saved chat history' selected in chat of course.
I still can't review the older conversations on the yahoo messenger but can see them saved with in the yahoo mail interface.