Yahoo turned off their messenger functionality for the Pocket PC long ago.

You may want to investigate the following as an alternative:

imov Mobile Messenger is a Jabber based Instant Messenging client that can
work with AOL IM, ICQ, MSN Messenger, and Yahoo Messenger by using a public
Jabber server with the appropraite IM gateways.

http://www.movsoftware.com/products/imov/imov.htm