Registered ICC players can have a personal library of up to 400 games. Libraries are different than your history games. Your "history" contains the last 20 games you played, so the games will disappear as you play more. Library games won't go away until you delete them.
On the left, above the option for 'LINKS', you can find your username. Click on your username.
In the center of your interface your profile with ratings will appear. Next to these, on the right, your history is shown. These are your last 20 games played. The list below your history is your library.
To view a game, double click on the game of your choise. To delete a game, right-click on the game and choose 'Delete Game' from the pop-up list.
To save a game you just played or examined, right-click on the board and choose 'Save to ONLINE Library'
To save a game from someone else his history, click on the 'Lookup user' icon in the toolbar in the top right corner. (If this icon is not showing then go to your 'LINKS' list on the left and click on 'Lobby'. The toolbar should reappear).
Fill in the username and press ok. The profile, history and library should now appear in the center of your screen. Right-click on the game and choose 'Save to ONLINE Library' from the popup menu.
For commands and other information please read "help libraries"