1. Yes, just use the soundcommand in the automessage (plus > preferences > personalised status > status presets).
example:
/sound hello_worms
You can either use soundhash or soundname (/sound <soundhash> or /sound <soundname> ), just remember the command must come first on the line..it won't work if you put words infront of it (on same line)
2. If yahoo does support pop3 (wich i doubt), all the settings you need can be found either in settings or help on your yahoo account.
3. Stuffplug NG has this feature:
http://www.stuffplug.com
Note that your contact will need this plugin too if they want to see it bigger if they use MSN 7.0 or up.