So far as I'm aware the POP protocol only supports the Inbox. Messages come in to the Inbox on the Yahoo server and are copied to your Inbox in Thunderbird; you can choose to leave them on the server or delete them. That's it, basically. Thunderbird can keep copies of messages you send and delete, but they are stored locally on your machine, not on the server. If you have a structure of folders on the Yahoo server (Inbox, Sent, etc., plus others you have created for particular purposes) and you want to replicate them in Thunderbird, then you need the IMAP protocol instead. IMAP is designed to 'mirror' the structure of folders on the server and on your computer -- indeed, on several computers if you want. You cannot simply change an account from one protocol to the other. Instructions for migrating from POP to IMAP in Thunderbird are here: https://support.mozilla.org/en-US/kb/switch-pop-imap-account

Thank you for your advice. So practically, there is no way to save all my emails documents/ folders from Yahoo to my computer. I can only have it as a share option Yahoo/ Thunderbird. I was trying to back up most of my folders as I do have lots of info on Yahoo Mail. Any suggestions? Thanks

Well you need IMAP to be able to use those other folders in Thunderbird.

One you have set up an account using IMAP you are free to start copying messages to Local Folders where they will be stored on your computer

Thank you for your advises and support. Greatly appreciated.