Configure your internal DNS to return 127.0.0.1 for webcs.msg.yahoo.com and httpcs.msg.yahoo.com.

Add the DNS names webcs.msg.yahoo.com and httpcs.msg.yahoo.com in the Web proxy server black list.

To make it more effective:

We recommended to allow only known HTTPS web sites from your LAN through the Web proxy server. This can be done by entering "**s" (without quotes) in the web proxy server black list and then add the known "https" sites to the white list.

Reference: http://help.yahoo.com/l/us/yahoo/mail/yahoomail/chat/chat-23.html