Actually, the BEST (with no competition) of all is Shapeservices IM+ for PocketPCs (and smartphones and even some phones!). It's the best, it supports following protocols:
ICQ
MSN
YIM
AIM
Google Talk
Jabber
It saves history, it has notify settings....
Only thing that is really annoying is it's price, but otherwise it's the best.
http://www.shapeservices.com/en/news.php?id=61
Yours sincerely,
JohnMadDoe_CZ AKA Vulpix