When you install any non-unicode programs, you will come across the problem.
Unfortunately, Yahoo Messenger is one of the programs which does not use unicode Chinese coding.
Microsoft trys to set an unicode standard, but not every one wants for follow the suit. This kind of problems will exist for the time being.
Solution:
1. Install a third party Chinese program, e.g. TwinBridge, Richwin, Chinese Star which can display both double-bytes chinese characters and uni-code characters.
2. Install Win XP Chinese Version.