If you know which port Yahoo messenger uses (5050 a quick google told me)
You can go to an online port scanner, eg
https://www.grc.com/x/ne.dll?bh0bkyd2
turn on your messenger client, then
hit proceed, type in the port or port range, and click the "user specified custom port probe" button
since you are not blocking it, if it is blocked, it must be upstream, (ie your isp)
if it is working ok you should get closed when the yahoo app is not running, and open when it is.
tobyl