If you have a US based Yahoo email account, the you need to pay for POP3
access. There are some web-scraper software applications available, but I am
not sure if they would work with the new Yahoo interface.
Yahoo will refund the payment pro-rated if you cancel before the year. So, I
just purchased the premium account, downloaded all my email and canceled
right after (only cost me a couple of bucks). However I was not planning to
use Yahoo after that and just wanted to archive those emails.