Aim help! when someone whose not your friend ims you and you exed out and now you cant see the convo...etc?

if someone ims me while im away and there not on my buddylist, i accidently closed the box and now i cant see what they said..is there anyway i can still see what they said..when i click on there screen name the convo doesnt come up..this is for the newest aim version. Please this is really important(oh and the person who imed me is now offline.)