Yes.
If your conversation is something you want to keep private. And your Admin has the rights under company policy to monitor any and all communications on the companys network, (check the companys policy), then you might want to use something that offers secure communications, Such as AT&T's "IM Anywhere", ( it did offer this before, have not used it in a while though).
"SpyShield 1.0 is finally here! with support for MSN® Messenger 5.0 and GnuPG "
http://www.commandcode.com/index_flash.html
There is also Jabber.
http://www.jabber.com/index.php
there is TSM, a plug in kind of app that adds secure communications to most clients
http://www.encrsoft.com/products/tsm.html
there is an older PGP app for ICQ, which will probably still work with current ICQ versions
http://samopal.org/soft/pgpicq/
LICQ, for the *nix OS, offers an SSL connection between clients, for secure communications.