So lets get this clear - you think that the person who sent the email messages to your Hotmail address somehow eavesdropped on your Yahoo messenger conversation with someone else???
Well, the most likely scenario is that the person you were not chatting with the person you thought you were chatting with on Yahoo messenger.
If I knew someone's Yahoo messenger (or MSN messenger) password I could log onto the system from anywhere in the world and pretend to be them in order to get information from a third-party. Alternatively, I could simply create a new screen name that was very similar to someone that this third-party trusted and hope that they don't notice!