If it's just your history that is not being saved, follow these steps:
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From the Main menu choose Options.
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In the Options window click the History option you can found in the Privacy & Security tab.
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In the right pane, check if Save history is selected. You can also select specific items you want to save.
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Click OK.
Note: When you install ICQ, you are asked who uses your computer.
If it is your history
and preferences that are not being saved, it might be because you chose "Publicly by multiple users" while you were installing ICQ. When you choose this option none of your conversation, messages etc. are being saved.
To fix this problem, try re-installing ICQ, this time select the option
By me, which gives ICQ the privilege to remember your password and save your messages history and preferences.
Basically, if it's just 2-4 members of the household that are using the computer,
you can select
By me.