Any server is just that. Its a file server. All internet traffic is sent as files. The server does not create a direct connection between you and another computer. It receives the files you want to send, saves them to its system, then sends it back out.

It HAS to store the files because of the way the internet works. Everything is in packets. A server sends a packet, waits for the other system to say it received it properly, then resends the packet if it needs to.

How LONG it stores the files is up to the person running the system. But as a general rule, your stuff and the logs of your actions, are kept for a month. For things like email, its kept on the server longer. For things like IM Im guessing shorter.

If you are concerned then you need to look into encrypted internetting. Its becoming available for file transfers, for email, for browsing, for everything.