can not download yahoo messager

Doesn't work for me because .exe files cannot be opened. Why don't you try Empathy, Pidgin, or other alternatives?

I agree with Jason Odoom that you'd probably be best-served by an officially, supported, free open source software multiprotocol instant messaging client such as Empathy (which is already installed on your computer and available through the "me menu"--click on the menu in your top panel that has your username), or Pidgin (which you can install in Applications > Ubuntu Software Center).

If you want to use Yahoo's official proprietary freeware Yahoo! Messenger client, you can try, though it's an old version and may not provide all the features you want. You can download it http://in.dld.yahoo.com/i/in/messenger/linux/debian_sid/ymessenger_0.99.17-1_i386.deb. See http://in.docs.yahoo.com/messenger/download/unix.html for more information.

I recommend against attempting to run the Windows version of Yahoo! Messenger on an Ubuntu system. There is no advantage to doing this, and there are a number of disadvantages. However, if you insist on attempting this, then with Wine (http://winehq.org), you might be able to get major version 6 or major version 8 working (http://appdb.winehq.org/objectManager.php?sClass=application&iId=29). You can install Wine in the Ubuntu Software Center, right-click on the .exe file, click Properties, change its permissions to be executable, and then right-click on it again and click Wine Windows Program Loader.

     Yahoo messenger is for Windows (any file ending in ".exe" is for Windows). They don't support Linux directly. You may eventually be able to use it through a package called Wine in Linux, but it didn't work when I loaded it.
     I HAVE had success with it, with every feature, by using VirtualBox and loading Windows into Linux through Virtualbox. Doing that allows you to open a window that runs Windows while you are in Linux, so most every program written for Windows suddenly becomes available.
     While Empathy (and several other chat programs for Linux) works for chatting, you won't be able to use a microphone in most cases - let alone a web cam. So you're stuck with having a Windows installation SOMEWHERE if you want those features.

Actually, as I detailed in my post, Yahoo! Messenger *does* support Linux-based operating systems directly (http://in.docs.yahoo.com/messenger/download/unix.html).

However, I don't know if that version supports microphones and webcams.

As Larry Jordan says, if you create a virtual machine with Windows running in it, then you should be able to use the full functionality of the Yahoo! Messenger software for Windows.