information storage

I don't think IM or chat messages themselves are stored on your computer, but they are on the server for the IM service or chat room--which means, yes, they can be recovered by the police (or possibly by hackers). The logs of when you are using the services are in a file (possibly hidden) on your HD, though (probably in a sub-folder of the Windows Application Data folder for the IM program). I'm not sure about the exact location since I don't use them. The smarter thing is not to do or say anything that would get you into trouble in the first place.

ICQ: Stored locally by default, but can be configured to not log event history via program preferences.

The easiest way to determine this is to look at the options/preferences for whichever IM clients you have installed.  Some versions of IM clients handle this differently than other versions, so this may have some bearing on things, too.  For example, the message logging options in MSN Messenger have changed since the product was originally introduced, and the same may hold true for other IM apps.

I can tell you that AOL/AIM v2.7.2480 doesn't log event history, but newer versions very well may.  MSN Messenger v6.2.0205 offers the option of logging history, but 4.7.3001 does not.

The reason you were directed here (Software - Other Software would have been a better choice) is because the hardware conferences such as Dimension Hard Drive deal with the physical aspects of the drive, not which information is or is not stored on them.  If the drive fails to function, your post would belong there.  If you have a question about the software installed on same, the appropriate Operating System conference, or Software - Other for non OS related questions would be a better fit.