Sounds like some sort of worm that sent out the URL of the password scam. Last year sometime there was an e-mail virus mailing itself out to everyone on your yahoo address book, this sounds very similar but I don't know the details.
Anyhow, I don't see the point of stealing yahoo messenger accounts as they are free to create. If you really want your account back, you just need to complete the forgot password forms with the information you entered at signup.
http://edit.yahoo.com/config/eval_fo...er=&.intl=u s