Ive used Trillian forever.
It really doesnt store anything on your computer besides the skins, and the previous IM sessions that by default it automatically saves.
All the friend lists are saved on the other servers.
What it does is it "looks" at your Yahoo account (for example) then displays them in trillian. When you add a friend, it adds it to Yahoos server, and then trillian "sees" it again, and then displays it.
Thats really how trillian works.
Rudy, click on the Trillian tab (or whevever to get to the Add a friend) and follow the steps.