My messenger doesn't connect

I am running windows XP. my Yahoo messenger will not connect to the internet. I've tried all kinds of other messengers and none of them work. I've tried changing the connection preference to all the different settings, but nothing. I know nothing about firewalls or proxy settings so I don't know if they should be enable or disabled.

Another problem I am having is everytime I go to a site that has a security pop-up like my bank the site won't connect.
Please can anyone help? Without these uses I really am limited to my computer use