MSN and Yahoo can talk to each other using either Yahoo! Messenger or Windows Live Messenger.
Apps like Trillian are good if you have accounts for many services, but don’t want to have all the individual programs they use. Let’s say you have accounts on AIM, Yahoo, and Windows Live, Trillian would allow you to be connected to all of those at once from one program.
I dislike Trillian and recommend Pidgin instead. Trillian is bulkier and slower than Pidgin is.