First thing to always try is to un-install Messenger and do a clean re-install. The un-install is important; it removes any corrupt files that an install alone might not fix.
Click the "Start" button, click "Control Panel", and open "Add/Remove Programs". Scroll down to "Yahoo! Messenger" and remove it. (If you can't find it, look for "Yahoo! Applications", "SBC Yahoo!" or any item in the list with the word "Yahoo!" in it.) To be super-safe, also restart your computer. Then install a fresh copy of the most recent version from http://messenger.yahoo.com/download.php
