If you want a voice clip, then you hold F2 and yotalk into your mic.
Now if you want to have a voice conversation, you start a conversation with someone on your contact list and on the top of your...
the people in that room will obviously see your conversation but if none of you in the room have a specific virus then yes your conversations are private;-)
You can find it on your hard drive by going to: My Documents > My Received Files > {username} > History In that folder you should see files for each MSN contact that you have had...