Wow sorry you experienced that here! Actually, the save chat is a Pull Up item lol Go into the chat room and you will see at the bottom a "3 1/2" floppy"... click on that. Then a small window will open with the chat from when you entered the room. It tells you to Control C it (standard for copying nearly anywhere).

What you have to do is "select" the chat by dragging your arrow down and highlighting all of it... (can be a problem in a long chat, better to do this often for this reason and also, if you are booted from the chat and haven't saved it, you lose it. If you do save it in segments, it will begin at where you left off highlighting if you don't close the box (not sure if you do))

once you have it highlighted, THEN ctrl c it and THEN open your word processing program on you computer (Start> Word/Open Office whatever) and then paste it there on a page (Control V)... then name it and save it on your computer. You can also add to it for the whole chat if you segment. Later you can paste it into a PM.