I've not read everything here (just skimmed the answers), so sorry if I'm repeating someone:
The rule of not opening mail that you suspect to be spam (possible worm, etc.), really only applies to email clients like Outlook Express.
If there's a flaw in the code, then an email message could be carefully constructed to run code on the machine itself (i.e., a virus, or spread itself and be called a worm).
If you use web mail through your browser, then the code written to check your email is more more deeply nested in terms of abstracted code, and it's far less likely to allow some email message to run code as an exploit (especially since more of this code is written for a specific client, like Outlook).
So, if you're using web mail (which I think you are, with Yahoo), then just open the email and see if it is real. No harm should come to your computer.
Also, spam filters usually check the sender's mail address, and if it's in your address book already on Yahoo's systems, it'll automatically not be marked spam (since you've presumably had correspondence with them already). If this is the case with you and this sender, then it's more likely to be spam than not.
(Downloading and trying to open an attachment on your machine is a separate issue entirely.)