tstobb is correct. You have to sign up for Yahoo mail POP access and forwarding to have your messages automatically forwarded. You can make messages from Yahoo (the company) go to another e-mail address but not normal mail without paying the $19.99 a year fee. I think your best bet would be to send everyone in your address book your msn account name. It might take awhile but if you keep reminding people, everyone should be transfered to that account.
If you want messages you have saved in your Yahoo account in your MSN account just forward them to yourself.