Consider the simple case of a system with two objects $A$ and $B$.
The internal force $\mathbf{F}_{BA}$ acted by $B$ on $A$ changes the momentum of $A$ by $\Delta \mathbf{P}_{A}=\mathbf{F}_{BA}t$, where $t$ is the duration of the force.
Similarly, the internal force $\mathbf{F}_{AB}$ acted by $A$ on $B$ changes the momentum of $B$ by $\Delta \mathbf{P}_{B}=\mathbf{F}_{AB}t$.
Newton's third law tells us that $\mathbf{F}_{AB}=-\mathbf{F}_{BA}$, which implies that the change in total momentum $\Delta \mathbf{P}_{A}+\Delta \mathbf{P}_{B}=0$. This is why the actions of internal forces conserve momentum.
However, internal forces do not always conserve the energy of a system. A conservative force is defined to be one that conserves energy. Examples are gravitational force, spring force, and electric force. Such forces convert the kinetic energy of the system to potential energy and vice versa, without any loss of energy. Non-conservative forces, such as friction, cause the system to lose energy to other forms, such as heat.