OK, I hate to tell you this, but I still don't know enough to help you, except to advise you that your system MIGHT be infected with some type of malware. The message you're describing might be adware designed to scare you into clicking on something... ESPECIALLY because you got this message AFTER opening Yahoo! Messenger...
For one thing, WinXP does NOT use DOS at all, though many people refer to the Windows Command Prompt as "DOS", because they've seen DOS mentioned with other Windows operating systems. That is why I don't think a REAL error message would refer to a "DOS" device... because DOS does NOT exist in the NT-based versions of Windows (winNT4, Win2k, WinXP)...
ANYWAY, you should consider scanning your system with HiJack This, which you can download directly from this link:
http://www.thespykiller.co.uk/files/HJTsetup.exe
Simply right-click that link, and choose to save the file to your Desktop, where you can find it easily.
When the download has completed, double-click on the HJTsetup.exe icon on your Desktop. If you saved it somewhere else, you can find it with Windows Explorer.
By default, HJT will install to C:\Program Files\Trend Micro\Hijack This\HijackThis.exe.
Continue to click "Next" in the setup dialog boxes until you get to the "Select Additional Tasks" dialog box. Now, put a checkmark next to "Create a desktop icon", then click the "Next" button again.
Continue to follow the rest of the prompts from there. At the final dialog box click "Finish"; when you do, the "Hijack This" program will open.
Click on the "Do a system scan and save a log file" button. HJT will scan your entire system, and then ask you if you want to save the log.
Click "Save" to save the log file; the log will then open in Notepad.
Next, click on Edit > Select All> Edit > Copy to copy the entire contents of the log. Paste the ENTIRE log into your next reply.
DO NOT have Hijack This fix anything yet. Most of what it finds will be harmless, or even required. Simply post your HJT logfile, and wait for a qualified member of the TSG forums to advise you on what to do next. Remember, do NOT attempt to fix ANYTHING until a member with a Blue or Gold Shield displayed next to their member name has posted advice for you...
Good luck...
