With Firefox 3, mailto links can be customized to use web mail application. If you have opted for yahoo mail (or other web mail app) to open with mailto links but mailto links are still opening other application (or other webmail app such as Gmail), take a look at possible conflicting add-ons.
For example, if you are using Google toolbar, you might have checked Gmail as mail application (Google Toolbar -> Settings -> Options -> More -> Page Tools -> Send with Gmail). In this case, even if you choose yahoo mail as default for mailto links, mails will still open Gmail.
