Start WinDbg from the command line using the -logo option:
windbg.exe -logo logfile.txt
That will get everything done logged to the file specified. You can find more details of the command line options here.
Or, if you are already in a debugging session, you can use the .logopen command to start logging. For more info on this command see here
Or you can click edit->Open/Close log file in the WinDbg GUI.
More info on log files is here.