I presume your intent is to either move to another account or to extract permanently from Yahoo. The simple way is to set up an IMAP account, wait until all messages download (using File>offline>download can help) and then COPY (not move) to a folder in Local Folders. If you're familiar with profiles and windows file explorer, the easiest way to copy is to just locate the folders in the Imapmail\<accountname> folder, copy and paste into the Mail\Local Folders folder.