Hi Fiero44,
Please do not delete the "Conversation History" folder as its a default folder and it will create email sync issues if the folder is deleted.
If you have accidentally deleted the folder please follow the below steps to resolve the problem.
Click on MSN Explorer icon ( Butterfly icon)
Select the email account from the welcome screen (do not Sign in)
Press Ctrl+Shift+F9 at the same time
You will get the confirmation Pop up stating we are about to remove all MSN Data
Please Click on OK
Re-launch MSN it will download all the emails.
If Issue persists please follow the below link to contact the MSN Technical support team.
https://support.microsoft.com/en-us/contactus/msn/explorer-tech-services/
Thanks
MSN Support Team