Here’s how:

Click the + icon located at the top of your Messenger list, or click the Contacts menu and select Add a Contact.

Enter all the information you want to include.

Then, click Save & Close.

When you add a contact to your Messenger list, they’re also automatically added to your Yahoo! Address Book.

Also: You can add a contact to your Messenger list from Yahoo! Address Book, too, by entering the person's Yahoo! ID in the text field provided and checking "Add this person to my Messenger List."