Use the link above that was posted by other user.I had the exact same problem as you and after using that link I was able to install the messenger. If you look closely at the name of the executable file, the one you download from yahoo website is “msgr7us.exe” and this one has a “y” before = ymsgr7us.exe. Might be a mistake from yahoo, hope they will find it soonner or later or someone from this group can notify them.
The good link to download the yahoo messenger 7.0 is this: http://download.yahoo.com/dl/msgr7/us/ymsgr7us.exe

Gracias a todos y que esten bien.