Mandrake is pretty close to Redhat, so you can get the Redhat 9 version of y!m from *messenger.yahoo.com/messenger/download/unix.html
As for installing it, most probably mandrake will bring up its RPM manager if you double click the file in your file manager, and you can install it using an easy to use GUI.
Else, open a terminal (xterm) and cd to the directory where you downloaded it, and then install it using