My sister had something like this a few months ago in her AOL IM program. It was spyware that was kind of insiduous -- i.e. AdAware and Spybot both couldn't find it and it isn't really a virus, so Norton couldn't find it. I can't remember how I found it and removed it -- but I remember I found a removal tool on the internet and had to go through that to remove it completely.
Sorry I can't help more, and I have no idea if this applies to Yahoo messanger, too.
- Laura
