Actually, I have already verified that it is. Yes, when you alter the gif icons in the smileys folder, your modified icon does replace the normal one. This is what lead me to think that there is a file that is responsible for making the connection. I was looking for a text file containing something linking the sequence : ) to the file "C:\Program Files\Yahoo!\Messenger\Media\smileys\01.gif" but I couldn't find one. My idea was to add something to that file linking another sequence, say %: ) (%, as an example, really it could be any character not already used by existing smileys) to a brand new smiley. The problem is, these new smileys would show up for you, but not whoever you are talking to. In order for them to work for another person, they would have to have the appropriate file modified on their computer, and also get the correct gif files. The same goes for modifying smileys. A new smiley will show up for you, becuase something links the character sequence to the gif file you modified on your comp. The same is true for whoever you are talking to, but it links it to the file with the same name on their computer. Whatever their file looks like is what will show up for them.
In addition, the bmp files, I am fairly certain, are responsible for the icon representation in the little pop-up menu.