First realize that it may not be you.... 
the servers may not have gotten a request to initiate the imv with your pm.....
kind of like the invalid token message...

does it say expired? if so, no fix,..... its gone,,, like the stars and stripes one. they expire them to keep you coming back and getting new ones. ( sux i know ) 

• if the servers are wacko or too busy or out of service its returns "expired" 

• the SAME request byte for byte identical will sometimes return without an expired message

• its new and sporadic behavior from the servers. 

• the same request sent later may very well succeed 

YOU CAN NOT HAVE MESSENGER RUNNING  WHILE  DOWNLOADING OR INSTALLING!

you can install messenger if not..... look in c\ program files\ yahoo\messenger\install 
and you  should see the installer. ( a quick tip.... right click and select rename.. and add the date to the name.... next time you dl, it will not over write...and you will have the old download to go back to if need be..)

Did you go load all the imv's before using? ( when in doubt, go to the imv page and reload them)
You might also check the version of messenger you and the other person are running..... ( make sure you are both on the same build at least.)

Another idea is see if it is just one IMV.... We still cant get fighter or Mario to work here ... 

some things you can do to assure it is not at your end.
i feel like a broken record~ 

but are all windows updates current?
checked for virtual machine updates? cleared cookies? and temp files?

did you make sure to close all programs except your isp and download?

As for customizing ~ many have reported editing a current IMV, but the official word is that they are not able to be made yet.

yeah right..  *think gif files*

just be very careful about accepting so called IMV files off the net..