>>>As I do not use Yahoo
If 'the Copernic', in your question title, refers to Copernic Agent, then you most definitely do use Yahoo!
Copernic isn't a search engine in its own right. It's a 'meta' search engine that sends your request to more than 90 'real' search engines, including Yahoo, and then sorts and feeds those results for you. So it would be unsurprising if a URL obtained from Yahoo contains a reference to its source.
I've no idea why you're getting 'dead' links from Yahoo though. Whether or not you can do anything about it might well depend upon which version of Copernic Agent you're using. If you've simply got the free toolbar ('Copernic Agent Basic') I doubt that you can control which search engines are given priority. If you've got Copernic Agent Personal or (the now discontinued) Copernic Agent Professional there should be settings which allow you to choose which search engines are accessed by the software.