You know, just looking at that screen shot, I just realized... behind it on the left... is a Messenger type of dialogue box. I always assumed Yahoo Messenger was the old way, where it was a separate icon on your desktop that you had to knowingly install. Apparently this is now part of your email package. It has an option on whether you want to be "available" to other people on your Address/contacts list, or "invisible", i.e. so they don't know when you're online. I've never really paid attention to this feature other than to have it set on "invisible." And I've never received any instant messages from people on my address/contact list.
I notice it has a Settings feature and when I open it there's a check box for "Enable connection-related features(Messages, suggestions, updates)" and its checked. I'm going to uncheck it and see what happens.
EDIT: well, that didn't clear it either, still shows up...