I have exactly the same problem.
I got the messages with Zone Alarm firewall.
I tried to use Yahoo Messenger by replacing my firewall by the one
provided with Windows XP SP2, but the message is the same.
Reading on the web that Yahoo Messenger needs to establish a tcp/ip
connexion on
Protocol: TCP
Server: webcam.yahoo.com
Port: 5100
I added the rule for my firewall, but normally, I get a warning when
there is a first attempt to establish a forbidden connection, and I got
nothing.
I successfully passed the test proposed on the web by yahoo, to see if
the webcam is ok to be used in conjonctuion with Yahoo messenger !!

Atl