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Firewalls do NOT stop people seeing your IP address!
Firewalls block ports to the outside world so to make it look like your PC is not there. (Good ones do, some just close ports and let everyone know you're there, which is not as good)
To stop people finding your IP address, you should run everything through a proxy that doesn't forward your IP, you can find a few free HTTP proxy services, but you would have to pay for these services.
To get a Yahoo! users IP, when you are doing something in p2p mode such as cam, IM or file transfer, open up a command interpreter start, run and command.com(all windows) or cmd(NT,2k,xp) and type netstat to see a list of current connections.
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