Thanks for answering the question. It's a little confusing!this isn't a direct answer to your question but it's how to save the messages you send from now on. I don't know how to see previous messages you've sent before enabling it
go to your private messages page. on the control panel to the left go to Edit Options.
under "messaging & notification" check "Save a copy of sent messages in my Sent Items folder by default" and you'll now have a folder you can select from the dropdown menu when you're viewing private messages to see ones you send