Open a registry editor (click Start, click Run. On the Open box, type: regedit and then press Enter).
Navigate to the following key: HKEY_CURRENT_USER \ Software \ Microsoft\ Windows \ CurrentVersion \ Internet Settings \ Zones
There should only be 5 items there, numbered 0 to 4. If you see a different one, especially if you see items that shows up as box, try deleting it.
Then Exit your Yahoo Messenger from the bottom bar (near the clock) or End Process it from task manager(Ctrl+Alt+Del -> process tab).
Now run again your Yahoo Messenger!!