Windows Messenger does not appear in Add or Remove Programs. But, it is installed or removed by opening the Add or Remove Programs panel, then clicking on Add/Remove Windows Components on the left side of the Add or Remove Programs panel.
Yahoo! Messenger, on the other hand, should appear in the list of programs in Add or Remove Programs if you have it properly installed. Of course, it would also appear on your Programs menu, the list of programs you see when you go to Start, All Programs. And, you'd probably have an shortcut icon for it on your desktop.
And, of course, if you start either Windows Messenger or Yahoo! Messenger, the panel that opens will have it's name at the top of the panel/window. So, you should really have no difficulty figuring out what messaging program(s) you have installed.
Another factor here is that Windows Messenger can be installed from within Windows, while Yahoo! Messenger must be downloaded, unless it was pre-installed on your computer when you bought it.