"Dude, I'm pretty sure you're looking for ICQ 5's address book. It's been ages since I used it, but as far as I recall, it's under Settings or something, don't quote me on that though. Try searching the app, it might help."
Lol, I think that's a pretty old software you're using. If you're looking to save your contact list, I believe it's just a matter of exporting it as a CSV file or something similar. Can you give me a better idea of your OS and Icq version so I can help more?