Messages sent to your disposable addresses are delivered to your Inbox, just like emails sent to your regular email address. This way you get to see them, but the sender doesn't get to know your real address.
To view the address that messages in your Inbox were sent to, click Options in the upper-right corner of your Mail page and select Mail Options. From the list on the left, click General, and toward the bottom, next to “Recipient column”, click in the circle beside “Show a recipient account column…”
Incoming messages are filtered by Yahoo! SpamGuard Plus, so spam goes to your Spam folder.
If you want, you can choose a different folder instead of your Inbox to get messages for a disposable address. Set this up when you create the address (by entering one of your folders in the "Deliver to:" field), or at any other time by going to the Options page and clicking Spam, then Disposable Adresses. You'll see a list of all your disposable addresses. Select the one you want and click Edit. Then you can make the following changes:
Note: When "Use filters" and "Use SpamGuard" options are both checked, SpamGuard processes messages first and sends any spam to your Spam folder. Then your filters sort non-spam messages into folders.