OK by default Yahoo saves your messages in the Message Archive until you sign out, then it deletes them. So if you have not change that setting AND you have not signed out then either right click the Yahoo ID of the person on your messenger list where you want to review the chat and then click Message Archive.
Or you can click Contacts at the top of Yahoo Messenger and then Message Archive. Once you have that opened if you have saved messages and want to sort them all by date then select the heading Messages on the left above where you see the names of your contacts and then you will see in the upper part of the archive all the messages arranged by date. Click on the column title "Date" to list them from oldest to newest or newest to oldest.
Of course all of the above applies if you had set your Archive Settings to yes, save all of my messages. But you will not have any archives if you choose do not save any of my messages. These settings can be changed in Preferences, Archive Category. Look in the Messenger menu at the top of Yahoo Messenger for Preferences. Be sure to click OK when you are done changing your Archive settings.