No expert on Adblock but doesn't it work on all websites rather than just specific ones such as Yahoo ? Click on whatever browser icon it displays (top right I think, and see what the settings are set to. Ensure it's active and not set Yahoo as whitelisted or whatever.
BTW it won't affect e-mails, it affects ads you would otherwise see when visiting the website. Only Yahoo account settings for spam will sort e-mails. But if you use a client it will have further spam recognition settings, and you can, in tandem, use something like Mail Washer for extra control.