This is a short summary of information posted my Microsoft. It applies to AOL, Yahoo and other messenger programs.Source:
Help avoid instant message virusesWith IM programs such as Skype , AOL Instant Messenger, and Yahoo! Messenger, you can type messages and n also make video calls.
A computer infected by a virus may spread the infection by sending copies of the virus to everyone on your IM contact list
Tips:
Be careful with links and files in a message.
Update all your software.
Make sure you're using an updated version of your IM software.
Use antivirus and antispyware software and keep it updated.
For more, please read the Microsoft link above.