I've moved this to Applications. Definitely not OS X, and in the context of backing up email, it seems more like Applications than OS X.
You can back up your email in Yahoo by forwarding it to another account, such as one you can check and download through Mail, Thunderbird, Entourage, etc. Or if you pay for Yahoo's POP/IMAP options (does one still have to pay??), you could use those apps to download your Yahoo email to keep copies locally.