Under the system tab, click on Extended Networking, then Port Security, click on the Port Security drop down box and select LAN connections to the Internet, click on Add then on the Port Range Configuration window, put Yahoo Messenger as the description. Under port enter 5050 to 5070. Under action enter Drop Packet. You may apply it both TCP and UDP.
How is it connecting, is it going over port 80? The messenger programs usually have multiple methods of connecting, so you need to block the ports in ENS, then you have to create a WWW proxy policy to deny access to the login URL. You can find out what this is by watching the activity screen or checking the history file, for example MSN Messenger connects to SSL://loginnet.passport.com:443, so you could create a policy banning access to any URL containing loginnet.
in the Yahoo Messenger connection settings, when i choose "no proxies" it can still connect even if Transparent Redirection is active. and when it uses the proxy, it still can connect. but the other sites that is banned in the wingate and puresight is not reached...