The messages are on your machine and automatically saved in a database.? Look for this file:
C:\Users\<username>\AppData\Local\PG Offline 4\ygroups.db3
where <username> is the username you are logged into your Windows system with.
I didn't understand this at first, and exported the messages to an SQL file.? Totally unnecessary.? You can quit PG Offline, and when you restart it, it will re-open the database.? Select the group name in the left pane, then hit the refresh button and you'll see all your messages.
It's a great little product.
Mark