Plug-ins add features to Messenger, in a tab of the contact list or inside a conversation. Messenger installs the ones this service offers by itself, when you sign in.
Y! Updates, the tab next to Contacts, shows your friends' latest status messages. It is the only plug-in for now: Yahoo's plug-in gallery and the plug-ins in it are gone, so Add Plug-ins has nothing else to offer yet.
A plug-in runs inside Messenger and can see what you do there. Messenger only installs plug-ins signed by this service, so a file someone sends you can't add one.