@bamzkie, what YM version did you used? Currently, firewall users are advised to upgrade to latest version, Yahoo Messenger 9.0.
Visit here:
Why do I need to upgrade to Yahoo! Messenger 9.0 if I have a firewall?
Also, check below snippets.
older versions of Yahoo! Messenger will no longer be able to connect through a firewall.
What if I don’t upgrade to the new Yahoo! Messenger?
If you don’t move to the newer version, you won’t be able to access Yahoo! Messenger if you have a firewall.
Hope this helps.