Introduction
Click the "options" icon. Click Personal from the left-hand menu and check the box next to "Save IM conversations in my email Conversation History folder". Then, click OK.
Instructions
1) Sign in to Skype for Business.
2) Click the "options" icon.
3) Click Personal from the left-hand menu and check the box next to "Save IM conversations in my email Conversation History folder". Then, click OK.
Outcome
You will now be able to save instant message conversation automatically in Skype for Business on Windows.