ICC stores your last 20 games, some of the clients also allow storing them into pgn files as you play. But if you use a client that does not support it, you then have to manually go and get each game out of history by hand into a pgn - one by one - at least in Blitzin. I want to get them all in one step into pgn file as easily as possible.
Unfortunately, if you want to download them, you have to do them one at a time. ICC does have a command "mailstored" which allows you to automatically have the games mailed to you in pgn or non-pgn format. Here is more info on that:
This command mails you the moves of the game you choose. You can email games from histories, libraries, database (search list), and adjourned games.
To automatically email all the games you play right after you play them, type "set automail 1".
"set mailformat 1" to get the game in PGN notation. "set mailformat 0" to get them in a non-PGN format that also includes the move times. Or "set mailformat 2" to get them in PGN with the clock times (the time remaining after each move) in comments.
There is a limit on the number of games you can "mailstore", due to the load the mailing puts on the ICC CPU. The limit is approximately 50 games in 12 hours. The games you get from "set automail 1" do not count towards the 50. There is no command to mail many games with a single command.
For Dasher and Blitzin, you can have every game you play automatically saved to a PGN file upon completion.
Place a mark next to "Log my Games" on your Game menu. This will cause each completed game to be saved to a .pgn file on your hard drive.