It is usually better to run proper linux programs that are written to run in linux than to try running Windows stuff in linux but if you really have to run a Windows program then try looking up how other people have tried getting it to work through Wine. Bear in mind that trying to run Windows stuff in linux is much like complaining that people in a foreign land don't speak the same language. The question would be do you want to get to the bus stop or do you want to keep using your own language? Here's one possible compromise but there are other ways such as installing a virtual machine inside linux
A good messenger on Linux is the application called "pidgin"
Using it you can log into your Yahoo messenger account and chat with your contacts.
It is very likely that it is already installed on your system, so look for it in your Applications menu.
If you don't see it there, try to run it from a terminal by typing "pidgin" on the command line and hitting enter.
If it still doesn't run then it's not already on your system, and you will need to install it first.
You can use free Pidgin software on Linux. In addition to supporting Yahoo Messenger, it supports AIM, ICQ, Google Talk, MSN IM, Bonjour, Gadu Gadu, GroupWise, IRC, QQ, SILC, SIMPLE, Sametime, Zephyr and all XMPP protocol compliant instant messengers. It was previously known as GAIM. I use it and I strongly recommend it.