If you get the email account setup wizard when Outlook opens, click "Next" twice.
If you don't, manually add a new account: click on File (top left - it's an Office logo in Outlook 2007), and make sure that "Info" is selected on the left. Click on the "Add Account" button:
Caution: by default, Outlook configures your account as "POP", which only shows messages from your Yahoo inbox, and forces you to use folders in Outlook. But Yahoo supports both protocols: choose "IMAP" to be able to see and use your "live" folders right inside Outlook.