Absolutely. Here's how:

1. Click the Messenger menu
2. Select Preferences.
3. Click Privacy.
4. Locate the "Change my status" section and make sure the option Playing a game on the Yahoo! Games web site is UN-checked. (When it's checked, people can see you're playing.)

There's another option on this page to "Allow others to see (your) high scores," if you want.

5. Click the OK button at the bottom of the window.