Hi,
1) It would be quite useful if you could post the exact mplayer error message
2) Are you sure you've selected the correct output sound driver? (OSS/ALSA as the case may be)
3) I've heard of this problem before, not sure what causes/solves it.
I suggest you move to gaim (
http://gaim.sf.net). Yahoo! messenger is not quite stable yet, and has a very lacking feature set.