You'll only have Yahoo Messenger if you (or another user of your computer) has downloaded and installed it:
http://uk.messenger.yahoo.com/
If you're using Firefox you could also try this add-on:
https://addons.mozill.../yahoo-mail-notifier/
Alternatively, if you're using BT Yahoo email (rather than just the free version of Yahoo mil which is available to everyone) you can access your mail account via a dedicated email client (such as Outlook, Outlook Express, Thunderbird or Windows Live Mail) and use the audio notification feature of that client.
http://bt.custhelp.co.../a_id/9962/related/1/
Chris