I would like to register my custom protocol with Y! Messenger.
Please see the image below. Y! Messenger understands mailto:, ymsgr:, but not my custom protocol myapp:. The custom protocol is registered on both the machine sending the IM, and that receiving.

You can register protocol in Windows. Then you can use it like
<a href="proto://data">data</a>. But this will not automatically parse plain text in Yahoo/Emails/IM.