I think that you have to be a paying member of Yahoo! Mail Plus to be able to access your Yahoo! mail via a program such as Outlook.
EDIT: Yes, now I'm sure of it. I think it costs around $19.95/year to be a member of Yahoo! Mail Plus. willsko87's link above just shows you how to do it only if you are already a paying member.
Yep, it used to be free to do so with all yahoo accounts. Same with MSN.
Now, you have to be a subscribed member to have that privellage. I have had tons of those calls at our center lately.