Cannot Save a Whisper Box Conversation in Microsoft Chat

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You can whisper to someone in a chat room by clicking the person's name in the Member list and then clicking Whisper Box on the Member menu. This opens a window in which you can have a conversation with only that person. Although you can save a conversation that takes place among all the members in a chat room by clicking Save on the File menu, you cannot save a conversation in a Whisper box.