Let's make sure that Windows Mail knows you have a broadband connection.
Go to Tools, Accounts, select the AT&T Yahoo account, Properties, Connection.
If the settings there are grayed out, it means it will use the same connection that
IE is using. Or you can have it always connect to the Local Area Network, which
is the broadband connection.
Does your Internet Explorer sometimes report no connection? If so, you need
to configure the DSL modem to always keep the connection alive.
For the typical AT&T/SBC modem, that is the "Always attempt to connect"
option rather than "Connect on demand."
Also, PPPoE login should be on the modem or router, not on the computer.