Take a look at these Y!MB help pages. Both reference IM'ing in Y!MB
w/ WinLive users.
http://help.yahoo.com/l/us/yahoo/mail/yahoomail/chat/windowslive-
01.html
http://help.yahoo.com/l/us/yahoo/mail/yahoomail/chat/windowslive-
02.html

I tried it today, though, and at least for now it's not available
(v0.6.8 b651.47). I guess this means it will be soon.

Also, still hoping on an auto chat archive in the next beta release.
http://help.yahoo.com/l/us/yahoo/mail/yahoomail/chat/chat-20.html

Whoa! Look at this! Once again, the page claims the feature already
exists. It looks like the ability to compose SMS texts will
complement the existing email and IM composing. It even says you can
convert between all 3! It also says a text message archive will be
available soon, and to convert to an email to backup (just like IM's).
http://help.yahoo.com/l/us/yahoo/mail/yahoomail/chat/sms-01.html
http://help.yahoo.com/l/us/yahoo/mail/yahoomail/chat/sms-18.html

This looks like some great stuff in the making. I liked the sms
feature in the desktop messenger, it makes sense to move it online.
It's also important to keep up the ability to chat with WinLive
contacts in all forms of Y! messenger. I hope the IM/text archive
makes the cut for the next release. This next release should be
coming up, especially since help already lists these features as
available! One thing I really want (along w/ the archive), though,
is Opera support. For now it's just not useable in Opera, and I'm
stuck using dual browsers w/ Fx.

Want to see more? It's all ripe for the picking at Yahoo! Help ;)
http://help.yahoo.com/l/us/yahoo/mail/yahoomail/chat/