Strange question bavlondon. It's as if you've been living under a rock. They are applications in the Mac OS X style: executable file and app resources (NIB file, languages, data) all stored in one directory which iPhone OS will make appear as one file (instead of a directory). Much much more stringent rules about what apps can do and how they run. Apps can be downloaded OTA through the App Store application which will come with iPhone OS v2 or side-loaded through iTunes.
Yahoo Messenger and MSN Messenger apps however, may be tough apps to find. I'm not sure they'll come right away unless some non-Yahoo/MS entity produces them.