As all the IM clients use different protacols, you will have to download the client with which your friends are members of.
There are some cross protocal clients such as GAIM click here
and trillian click here
I personally use trillain. Trillian is a fully featured, stand-alone, skinnable chat client that supports AIM, ICQ, MSN, Yahoo Messenger, and IRC.
(you will have to set up a user name for each of the clients)
(not all features work with all the IM)