In that case it seems most likely that you don't have the form configured to store messages in the database, only to email them. If you click the settings link you mentioned, there should be a checkbox labeled "Keep Messages?" -- make sure that this box is checked. There is also another option labeled "Append Visitor IP to Message?", which should be checked as well for your purposes.
Sorry, I should have mentioned those options earlier it just didn't occur to me that the form you're working on might have been configured away from the defaults already. I hope this helps.