however I have still not worked out how to do conferences

I don't think Trillian supports ICQ chats yet, but it does support the conferences in MSN. To invite another MSN user into the chat, hit the Invite user button in the existing chat window. (On the default skin, its the envlope on the left hand side.)

I'm not sure if or how AIM and Yahoo implement this natively, so I can't offer help on how to use those conferences if Trillian supports them.

What would be awesome is if Trillian supported some sort of bridging, to allow you to start a conference with ICQ, AIM, MSN and Yahoo users all in one.

The best thing about Trillian is how easy it is to get features added. I suggest any user here heads over to the fourms there, the authors are very good about looking at the fourms and implementing features suggested there.