Kaspersky has at least 2 settings I know of that would prevent Yahoo Messenger from starting and connecting to the internet. One is the IDS (real time intrusion detection system) and the other is the built-in firewall.
You may need to reinstall Kaspersky with the right options.
Here’s a discussion on the Kaspersky forums that talks about it and how to fix it: http://forum.kaspersky.com/lofiversion/i…

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