That will open up your IM History page, and you should be able to find the message below. If you don't see it, check the right column for the sender's name and click on it. You may also look to see if there are other pages to review, like this:
You can scroll back through earlier pages to see if you can find the message.
Also, on your main IM page, you can click on reply to this under any message from any member on the page, which will take you to your entire IM history with that member. This history might be incomplete, but it will show the stored IM history.
All instant messages eventually roll off your IM history page, so if more than a week has passed, it may not be there.