How can I understand who is chatting with who?
You can install Monitoring Service plugin, it will log conversations. I think in one of the windows it also shows active chats (maybe it even works without saving the logs). I can't think of any other way to see active conversations.
How can I install "Monitoring Service plugin" ?
I copied the plugin but I can't see it in the Plugin list:
Why don't you install it from the Available plugins page? What is your Openfire version? Where did you get monitoring.jar and what version is it?
As you see my Openfire version is 4.0.2. I installed it correctly and its name is "Client Control". How can I use it?
The latest monitoring plugin version is for 4.1.0 and higher. It's not "Client Control". It is named "Monitoring Service". I have attached plugin which is compatible with 4.0.0+, but it might have bugs, which were fixed in the newest version. You should update Openfire to 4.1.5.monitoring 1.5.4.jar (4851596 Bytes)
If I upgrade my Openfire then can it causing any problem? For example, I lost my users and...
Updates don't usually cause that in any program. Of course, you should make a backup first.
I mean is Destroy my MySQL Database or...
No, it won't destroy anything. You install new version on top. Then when you first time run it, it will upgrade your database (if there were changes to the schema) retaining your users information and configuration.