C# console messages

Question

In both a C# 2008 and C# 2010 console applications that I am writing and enhancing, a dos prompt window shows up with values at different times. I am assuming these messages should be saved in a log file.
  Thus can you tell me the following:
  1. How can I tell when these messages will show up so I know when I can save these messages?
  2. When I do find these kind of error messages can you tell me how to write these messages to a log file?
  3. Can you show me in code how to setup write the messages to a log file? For example, a certain namespace is needed?