Please note that if you run Yahoo Messenger from a FAT32 disk, this fix disables some features from Yahoo Messenger, like chat rooms and the plug-in manager. NTFS is the standard file system used in Windows 2000, Windows XP, Windows Vista, so it's likely that you won't see these limitations if you use a recent version of windows.
The .bat file you've just downloaded edits most registry values related to the ads in Yahoo Messenger from HKEY_CURRENT_USER\Software\ Yahoo\pager\YUrl, replacing the data with a dummy asterisk. Here's the list of string values:
Messenger Ad Webcam Upload Ad Webcam Viewer Ad Webcam Viewer Ad Big Webcam Viewer Ad Medium Change Room Banner Conf Adurl Chat Adurl
The patch also makes the file C:\Program Files\Yahoo!\Messenger\Cache\urls.xml read-only and it revokes all the permissions for the file, but only for NTFS disks.
If you install new versions of Yahoo Messenger, you'll have to repeat the steps above, as Yahoo setup rewrites the registry entries. New versions will most likely make removing the ads more difficult or even impossible.