See if the setup process for Yahoo Messenger offers a choice for "All
users" or "current user only" --- or similar verbiage.
The setup program 'should' have the choices.
Be sure to select the "custom" install/setup option, not the standard or
default.
Post back with your progress. Even if it turns out that all users get
YM on their menus, you can still go back and remove shortcuts from the
ALL Users startup folder, to just your startup folder.
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Not having the shortcuts won't prevent the users from executing the .exe
files to load the program. If the install program doesn't offer the
choice of installing for only the current user account, and after
removing the shortcuts (especially those added into the All Users
account), go to the folder where the program was installed and change
permissions on the files there so only your account(s) have permissions
to them.