I had the same problem. I emailed Yahoo about this and this is what they said.
They had me disable any nortons or internet security before downloading Yahoo messenger. (it was blocking it)
I had to make sure I removed any Yahoo I had on my PC. from Add and Remove and Start-My Computer-Local disk C-Program files and look for any Yahoo folder. Delete it!
Disable Nortons or any Security and go to download Yahoo Messenger. This worked for me. Good Luck!