In "make a mess of it," the only object is "it," because it is the object of the preposition "of," while "make a mess" is a verb phrase, since the entire phrase describes a single action. Similarly in "make a fool of yourself," the object is "yourself," since it is the object of the preposition "of." This expression also contains a verb phrase, which is "make a fool." I hope this helps you! Let me know if it still doesn't make sense.