Always check your spam folders. The mail usually ends up there instead of your Inbox. If you find any legitimate mail (like that of verification mails) you need to go to your spam folder, select the message and click 'Not Spam'. When you do this quite a few times, Yahoo will recognize it as a legitimate mail and won't send it to the spam folder henceforth.
Also check your alternate mail id's you've given during sign-up. The conformation codes end up there too. You could re-request for the verification by going to their website once again.
NOTE:- Some users have reported that they had entered their e-mail address wrongly (Either a typo mistake or invalid domain). In that case you need to correctly enter your E-mail address while setting up your account