> I am trying to build some error handling wich would flag the errors but
> would still carry on doing the transformation.
> I was reading that <xsl:message terminate="no"> could output the message
> to a log file, or store it in the message buffer.

<xsl:message terminate="no"> is certainly a good way to output error
messages without stopping the transformation.

<xsl:message> simply goes to standard out (or standard error); I don't
know if there's a way to redirect error messages using MSXML2. But
Michael Kay's book has a warning that you might find interesting:

"Microsoft's MSXML3 parser currently ignores <xsl:message
terminate="no"> so the message is not reported anywhere. If
terminate="yes", it generates an error, which can be handled through the
script on the HTML page that invoked the transformation."

-- 
  It's not surprising that the real world doesn't always conform
  itself to our words. What's surprising is the number of people
  who proclaim that reality is wrong "by definition".