Hi,
Since Messenger Version 9, Yahoo has prevented us from having 2 Instant Messaging capable programs open and active at the same time.
For example, Yahoo Messenger, Yahoo Webmessenger, Yahoo Mail, your mobile phone, other computers etc. etc.
Yahoo classifies all these programs as "Different devices or locations". Navigating from one to the other will close one program and you may get the notification message you refer to.
Note.
Hitting the X on the Contacts page in Yahoo Messenger does not sign you out of Yahoo Messenger, it merely closes the contacts page. Like WLM you have to close the program by right-clicking the icon in the system tray and selecting 'Exit'
You can have Yahoo Mail and Messenger ( or any other Program ) open at the same time as long as your status is "Offline" in Yahoo Mail. Use the drop-box next to your name and "Sign out of chat"
Your online contacts will vacate the inbox until you make yourself "Available" again