Or is it just that?
If you have netfx 3.0 (or greater) installed on, you do not need Windows Vista to run it. Here is proof:
The other window is irrelevant apart from the fact that it really is Windows XP. The only thing missing from Yahoo Messenger (for WPF) is that it sticks "For Windows Vista" everywhere while it is entirely capable of running on any system having the required runtime.