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…

Using their disk was said to be better than downloading it, so I did that. Then, on loading, it went to 99% install and stopped. Then it knocked out my internet connection. Finally, I deinstalled the partial install and went with an old Norton 2008 that I had on hand, and it loaded fine and added 2009 updates.