Just a quick tip to share (because I had a rough time finding and validating it.)
You can display a hyperlink next to your name as your status in Yahoo! Messenger. When you click on "New Status Message," use the following format:
Some text http://www.somelink.com
Here's the thing that threw me for a loop, at least with version 8.1: you won't see a hyperlink next to your name but your contacts will.