Opening \ Viewing your Archives?
select Contacts > Message Archive

this will give you complete access to all the archive generated under the Yahoo! ID that you are logged in with.
or
right click on the friends username, select Message Archive

via either method above, you will be taken directly to that users archive listing.
On the left hand side of the Archive window is a list of the all the Yahoo! IDs that you have had a conversation with, if you click on a username the full listing of archived conversations load in the top right hand frame, these are arranged by date, to view the contents of an archive simply click on the listing and it will load in full colour (including Yahoo! smileys and formatting) in the frame below.

Now locate the backup copy of your Profiles folder
select Copy
Open Explorer (right click the Start button and select Expore, or Windows Key + E on your keyboard)
navigate your way to C:\Program Files\Yahoo!\Messenger\
click on the Messenger folder in the left hand column
the contents of the directory will load into the right hand frame
right click on a blank area inside the Messenger directory
select Paste
you will be prompted to Confirm Folder Replace
select Yes to All


NOTE:Windows Vista users will find their archives located at:
C:\Users\{WindowsUsername}\AppData\Local\VirtualStore\ Program Files\Yahoo!\ Messenger\Profiles\{yourYahoo! ID}\Archive\Messages\{ friendsYahoo!ID}\date-yahooIDused.dat

As mentioned above, your archives are encrypted and stored as .dat files on your own computer in...
C:\Program Files\Yahoo!\Messenger\Profiles\YourYahoo!ID\Archive\Messages\
so thats the the first place to check for the encrypted .dat files. If there are no subdirectories or they are empty then can try doing a system restore (if you're running Windows ME, WinXP) but the odds aren't great that you will actually get your messages back and often doing so will cause more problems that solve especially if you recover them and then try to return to your original system point before the restore. I've personally never had any success with using system restore to recover .dat files this way.. your best bet is with data recovery.

Data recovery software is often the most successful but again the odds aren't great, you could try one of the following...
http://www.z-a-recovery.com/
http://www.pcinspector.de/file_recovery/uk/welcome.htm
http://www.stellarinfo.com/disk-recovery.htm
http://www.r-studio.com/
or any other data recovery software you can find, there is such alot of them around, some are freeware and some shareware so do some poking around until you find one that is able to recover .dat files, once you have located one that is suitable scan your C:\ drive (or directory) for *.dat (files) ... keep your fingers crossed.
If you do manage to recover them it's essential they go back into the exact folder they originated from, this can be bit of a challenge so pay close attention when it comes to restoration.