Yahoo! Messenger is absolutely free (excluding PC to Phone). It uses the connection you've established with your Internet Service Provider (ISP). Simply download the software and sign up for a Yahoo! Account (also free!), and you're on your way!
If you'd like to download the latest version of Yahoo! Messenger, click here.
After installing, launch Yahoo! Messenger. If you have a Yahoo! ID and password already (that you use for Yahoo! Mail, Chat, Games, etc.), you can enter it. Otherwise, click "Get Yahoo! ID" to create a free Yahoo! Account.