Well, there do have Yahoo! Messenger Pingbox for facebook application but it's only able to add to personal profile and not to fan page.
What i'm going to do here is to add Yahoo! Messenger Pingbox to fan page using facebook static FBML application. Here, i'm not going to discuss on how to use FBML application, to see how FBML works, please check http://socialwants.com/development/adding-facebook-fan-page-applications/
Now, i have my Yahoo! Messenger Pingbox code.
<object id="pingbox0000000000000" type="application/x-shockwave-flash" data="http://wgweb.msg.yahoo.com/badge/Pingbox.swf" width="240" height="420"><param name="movie" value="http://wgweb.msg.yahoo.com/badge/Pingbox.swf" /><param name="allowScriptAccess" value="always" /><param name="flashvars" value="wid=xxxxxxxxxxxxxxxxxxx--" /></object>
In order to make it work in FBML, i have to change the above code to below
<fb:swf swfsrc='http://wgweb.msg.yahoo.com/badge/Pingbox.swf' imgsrc='http://www.encelabs.com/images/aaaaa.jpg' flashvars='wid=xxxxxxxxxxxxxxxxxxx--' width='184'height='320'/>
where imgscr is the image that will be displayed before pingbox load.
I'm able to get it run in my facebook fan page. Hope it work for you.