Yahoo! Messenger Security Issue?

I have MS Windows Vista Home Premium Service Pack 1.
As IM programs I am using Windows Live Messenger and Yahoo! Messenger 8.1.
I want to know if I am logged-in in Yahoo! Messenger 8.1 and someone is
sending me a *.exe application ( what contains malicious code, as a virus or
rootkit or someting like that ) and I choose to denied the transfer ( to not
accept it ), my computer is vulnerable to a infection??? [even i choose to
denied it ]

What if in the Yahoo! Messenger window i see the application icon and its
name and the Save As or Decline links??? ( if I do no accept ).

Thank You!
[ please! i want a very professional reply, what to make me to trust if CAN
or NOT ]