It would help if you'd tell us
what problem you have with installing it!
My guess is that you can not uncompress the file you downloaded from Yahoo. If that is the case, then download
StuffIt Expander first and use that to uncompress the Yahoo Messenger file.
If you don't need the webcam feature of Yahoo Messenger I'd also like to encourage you to try out
Adium. It's a much nicer (and more modern) instant messenger and it also works with other messaging services like AIM or MSN in addition to Yahoo, so it doesn't matter on which service your friends are (installation of AdiumX doesn't require any third party software).