Pop up message on the screen problem

Hi there guys,
I have a problem on my computer. When every time I'm going to shutdown or restart my computer there's a pop up message on my screen. It's a yahoomessenger.exe, that needs to click end now. When I'm going to shutdown my pc, first I'm going to closed all the programs and files. But it makes me wonder why there's a pop up message when I press shutdown. What is the reason of that pop up message? Is it a virus? How can I remove that pop up message?
Please help me guys thanks in advance.
Kwnith.
