How do you look at conversations people have had on your computer like on im?

me and my friend were having a really embarressing convo online when my brother walked in and i freaked and urned off the computer and now hes telling me that hes going to look up my convo and read it!! omg!! can he really do that? he said the only way to stop him is to change the whole format of the computer and idk what the heck hes talking abut i REALLY dont want him to read it can someone help me PLEASE!!!!