It means Yahoo is hogging your output device to itself, and won't let anything else use it. Usually it only happens with MIDI devices though

Can you change what device Yahoo uses for output, to DirectSound for example, since I that can't be hogged, if something else also wants to use DirectSound, it gets its own instance of that device

Or change WinAmp's output, I think that can also be changed between DirectSound and WaveOut. DirectSound is better, it gives you better control of the sound output without affecting other programs