Messenger is free! But not for us. For us, providing the best, most feature-rich (and fun!) messaging environment available anywhere costs money. We want to keep offering Yahoo! Messenger for free, and we also want to invest in even more and better features in the future. So we decided to show an ad.
Working with Messenger users, we received feedback that the most unobtrusive place to put an ad is at the bottom of the window. So that's where we put it. It won't expand, and it won't turn into a school of fish swimming across your screen.