You will need to open a port on the firewall after finding out what port Yahoo messenger uses and allow traffic in both directions.
I believe that /etc/squid.conf also needs to be changed a bit ...the part where there are accesslists and stuff..dont remember the exact syntax but basically , write a few accesslists in squid.conf which will let traffic through on that particular port in both directions.
Also use iptables to write a rule which will allow traffic on that port to pass through.
Cheers
Arvind
p.s....Apologies that I dont know the exact syntax..post back if your still having problems and Ill see what I can do
