Yes I guess you are using MSN chat at your Company well let me tell you Websense is at my company all well as the rules and regulation they have to install it on the server and it gets automatically on every PC in company...
Well at you lunch time they stop Websense and you are able to check your personal sites except Social sites like Orkut and Facebook..Etc...
Well yes you logs being generated while chating and that are stored in you computer and as these chating bypasses the company server its logged there as well so don't worry its fine... well i to do the same but do not disclose your personal information on MSN, Yahoo or Gtalk..
Take care
All the best