My guess would be that you don't have the Finder set to always show file extensions and that these downloaded files don't have a .pdf (or whatever) extension. Check that in the Finder's preferences, add the extension if it's missing from the files and try to open them again.
If they do have the proper extension, have you tried dropping them onto your favorite PDF (or whatever) viewer? If that works, you can set which app they open with using the Finder's Get Info window.
If that doesn't work, well, sounds like it's Yahoo that's causing your problem.