Have you registered your number yet? If not, click the Forward... button in the upper corner of your Messenger window, and next to "Forward offline IMs to", click Add a phone number. Once you've registered a number, IM forwarding is automatically enabled whenever you sign out of Messenger.
To manually sign onto your device, click the Messenger menu and select "Sign into (device's number will appear here)." Then click OK. This logs you out of Yahoo! Messenger on your computer and immediately logs you into Yahoo! Messenger on your device.
Note: You need to have a strong signal and be within the coverage area to receive messages. If you are, but are still having problems sending or receiving messages, switch your phone off and back on (as a means of providing an updated "request" to the network).
Signing in and out of Call forwarding
You sign into call forwarding when you select a phone number for forwarding your Messenger calls. (Do this by clicking Forward... at the top of the Messenger window, then Add a number next to “Forward incoming calls to”).
Until you turn it off, all Messenger phone calls will be forwarded to that number, whether you’re signed into Messenger or not (your computer can even be off). To turn off call forwarding, click Forward... at the top of the Messenger window, and next to “Forward your calls to”, click Turn Call Forwarding Off. This is also the place to turn it back on, whenever you’d like.