You should also be able to use a two step procedure of copying from Yahoo e-mail to Notepad and then copy from Notepad to Word. Notepad does not retain any formatting, so this has the same effect as using the Paste Special option in Word.
Also, to speed up the technique in Word, you can create a simple macro to execute the Edit/PasteSpecial/Unformatted Text sequence, add a custom button to your Word toolbar, assign the macro to that button, and then just click on the button to execute Edit/PasteSpecial/Unformatted Text. It's one click of the mouse instead of 3 or 4. I've added that to my Word 2003 and I wouldn't want to use Word without it.