So, if you've added them already, then you can just right click on them when they are online, and click "send an instant message" and then you can just start chatting.
But, if you haven't added them yet, get their Y!M add and click
the I+I sign underneath your picture to "add a contact".
Then, put in their add, and click "next", then put what group you want to put them in, and then click "next" and you've added them.
It usually takes a while for them to be added to your contact list, it depend if they're online or not.
I hope this helps. =]