I originally downloaded Yahoo Messenger about two years. At the time, I was using Windows '98. Earlier this year, I upgraded to Windows XP. Yahoo Messenger continued to work fine. I later uninstalled Yahoo Messenger to clear out some clutter from my computer. When I decided to reinstall just last month, I continued to get the CoCreateInstall MyYahoo DLL message.
Here is how I fixed the problem. The DLL problem was apparently caused by my Windows XP upgrade being incompatible with the newest Yahoo Messenger 6.0, which is the only choice you are given to download now from the Yahoo site. I was able to find a web site allowing me to download a prior Yahoo Messenger version; specifically, 5.6. That was the same version I had originally had and uninstalled. After installing 5.6, my Yahoo Messenger works fine.
Hope this helps, since I am certainly no computer expert.