MSN Messenger - Deleted Conversations History

I accidently deleted the file containing a conversation from the "My Received Files" directory. (From what I remember it had the persons name followed by a lot of numbers). Now when I go to Tools/Options/Messages I cannot select "Automatically keep a history..." as it is greyed out. How can I recreate this? I thought restarting would recreate it but it doesn't. I'm using Windows XP. Can anyone help please.....

 

uninstall/reinstall?