I found a simple Tweak to rid Yahoo Chat Room windows from those pesky ad banners... wish I could do the same for the huge ad when you first enter chat.
Create a new text document, copy and paste the following...
Windows Registry Editor Version 5.00 [HKEY_CURRENT_USER\Software\Yahoo\Pager\yurl]
Doesn't matter what ya name it, as long as you change it from .txt to .reg. It works well with my Yahoo, should work the same for everyone eles as well. Happy Tweaking!