I just tried this out and here is what I did.

Click on the email with the attachment.
Click Show Attachments.
Click Download Selected.
The virus scan starts.
When its down click Download Attachment.
Three seconds later a window popped up asking where to save.

This was done on Opera.
If you have javascript turned off and you are on Firefox then this might
be a bit different.

Also, I'm using the newer enhanced version of Yahoo Mail for this.