Using MSN Messenger, there are a lot of programs which allows you to open those sessions, but in the case of Y! Messenger, its more difficult to find it, and here you have it.
Thanks to Yahoo Multimessenger, also known as Y! Multi, you will have that possibility too. It’s easy to use, just install this program and double click it. From then on, enjoy the multisession experience using all your yahoo accounts.
Yahoo! Multi Messenger is specially recommended for latest versions for Yahoo Messenger, though it can be used with any version after 188.8.131.522.