Hmm I don't know the specifics of Yahoo accounts, but in general, accounts such as hotmail and yahoo are made so you must be on the internet to view them. This is how they make money (from banner ads while you read your emails). You could always copy and paste them into TextEdit documents, but that isn't very efficient.
To be honest, if you really want this feature, you should get a better emailo account. .Mac ones are pricey if all you want is email. For about $5US a month I have my own domain name, and email hosting set up which you can read in a mail client (such as Apple's built in 'mail'). If you prefer, you can also use this in a web browser for when you are not at your computer.
Does that help at all?