Trillian and Pidgin are a few examples of clients that allow users to connect multiple networks from one client so the answer to your question is yes you can do that.
In so far as how to do it, you will need to see if their is an SDK for the given service. A simple google search such as ICQ SDK should send in the right direction. Here are the SDK's for AIM and Yahoo:
Read this if you want to know how to get a correct reply for your question:
.: Wrox Technical Editor / Author :.
Wrox Books 24 x 7