Well, I try logging into my Yahoo messenger and it doesn't let me. I only get this message:
http://i12.************/5ykf5mf.jpg

Never used it but Id have to go with the basics, Check to make sure its allowed to connect with ther internet in the firewall, check to make sure your connection is correct in the program(not using a proxy, LAN, dialup, etc), and try reinstalling. But Id wait for more responces from people that actually use it

I would check on your firewall. I'm pretty sure that's what the problem is ;)