As a new mac user, judging by the number of problems I'm seeing posted here, mac isn't any better than a pc.
This is a place to get help with problems. Of course, you're going to see nothing but people with problems here. No one is going to come to this forum and start a new thread that says, "My Mac is working great, and I don't need your help."
Would you assume that all Hondas are pieces of crap because you walked past a Honda repair shop and all the Hondas in there were, in fact, broken? No one takes a perfectly working Honda into the repair shop.
Rest assured there are far more working Hondas than broken Hondas, though.
As for your problem, it sounds like you're dragging the actual disk image to your Applications folder, not the Yahoo messenger app itself. When you download the DMG file, it should mount on your desktop (the "CD Player" icon). Double click that CD icon, and a window should open that shows the Yahoo! messenger app. Drag
that icon to your Applications folder, then drag the CD icon to the trash to "unmount" it.
Visit your Applications folder and double-click the Yahoo! messenger icon to launch the messenger program.