Besides its main installation package, the setup also contains Microsoft Visual Runtime 2005/2008 (it differs according to the version of Yahoo Messenger you try to install). Before you install the application, make sure these components are removed from your computer. Also Adobe Flash is a component from which the chat software takes advantage of. For best results, manually remove these components and then try and install again the main package. Also, if you use Windows Vista, 7 or 8 when you try to install the package, make sure you right click the file and select "Run As Administrator". In most of the cases this is the problem encountered by many users.
