I went to Yahoo Messenger, then clicked Messenger and "My Account Info"
I then got this page
You want to click Manage yahoo aliases. It's not the same as the yahoo aliases in email options.
Once you add them there, you can log in as any, or in a chat window just above where you type a message, you cah choose "send as" and choose any of them.
Profile Information
Edit profile details <--- not this one
Contact Information
Update your contact information <--- not this one
Choose how Yahoo! contacts you
Sign-In and Security
Change your password
Update password-reset info
Create a sign-in seal
Manage/Create your OpenID
Manage Other Accounts to Sign-in
Manage Apps and Website Connections
Change sign-in settings
View your recent sign-in activity
Account Settings
Manage your Yahoo! aliases <---- THIS ONE
View/Update your saved locations
Notifications and Subscriptions
View your Yahoo! premium services.
Update newsletter & marketing options
The answer here worked for me
http://uk.answers.yahoo.com/question/index?qid=20100926044452AA8gPBz
Click on "Account Info" which is in the drop down menu (on your email
page) by your username where it says "Hi, __".
Sign into your Yahoo Account. Go to the section "Account Settings" and
click on "Manage your Yahoo Aliases".
Click on "Add an Alias". Type your alias in the box provided and then
click on "Save". You can have up to 6 aliases. Click on "Close when
finished".
In the Messenger Pane, click on "Contacts" and then "Add a Contact"
and add your aliases to your Yahoo Messenger. (You don't need to do
this).
When you IM someone, pick the name you want to use in the drop down
box above where you type next to "Send As".
Here is a link telling you how to use one of your aliases when you
enter Chat Rooms.
http://help.yahoo.com/kb/index?y=PROD_MS…
Alternatively, you could just change your current name by changing
your Contact Details. To do this, click on "Messenger" in the top left
hand corner of the Messenger Window. Click on "My Contact Details" and
change your name in the top boxes and change your name under
"Nickname". Click on "Save and Close" at the bottom.