I was having the same problems adding my WordPress feed to MyYahoo. I couldn't get it to work when I tried to add it from within my Yahoo Mail account but here's how to get it to work.
1. First, copy your WordPress feed URL (www.domain.com/feed more than likely)
2. Go to Yahoo's "Add RSS by URL" page (http://e.my.yahoo.com/config/cstore?.opt=rss&.page=p1)
You'll have to already be logged into your "My Yahoo" account or you'll have to log in once you enter this URL.
3. Paste your feed URL and click the "Add" button.
4. You'll see a screen that shows a preview of the feed and has a button for you to add the feed to your "My Yahoo". Click that button.
5. Go back to your "My Yahoo" account and make sure the feed got added. You might have to click the "Check Mail" button button so it updates the list of feeds.