The message history is saved in Access
For Windows XP:
C:\Documents & Settings\
your user name\ICQ\your ICQ number)
For Vista:
C:\Users\Nafcom\AppData\
Roaming\ICQ
But you need to enable history saving first. By default, it is always disabled:
go to Main menu | Options | History > Save history
First of all: The name of the messenger is ICQ, not ICG (it stands for I seek you). Go to contacts then to history. There you can find it (and delete entries).