Web based Yahoo account? There isn't a way and hasn't been in Windows Mail
(or Outlook Express). Now after saying that, you might try this YPopper or
whatever it's called. Haven't tried it in Windows Mail but did set it up
for someone with Outlook Express and it worked quite well.
If you had the POP3 access, you would have to find out how to import from
the e-mail client you were using.