I had a whole private conversation with someone but it doesn't show in my history. Also, I have no way to search for that user. Please advise.
No one can help you, because you aren’t giving enough information, such as whether it’s chat or forum, etc...
If the user was a guest you can't search for them. Guest accounts can be used by anyone, the name isn't exclusive. But as Stan has mentioned, you need to give more info. If it was through the forum they are held in your conversations area. If it was in chat as soon as you leave it's gone.
Sorry, I'm new and don't know much about this site to use the correct terminology. It was a private chat and I believe he was registered as a guest. I still have no idea how to find my conversations in the forum.
So yes if it was a chat in the chat room as soon as you leave it it's gone. Even if you rejoin a chat you were in you only see it from when you rejoin.