We're sorry if this is occurring. Yahoo! uses the POP3 protocol to retrieve messages from your other mail accounts. POP3 is a common format for data transmission, and it uses a command called last. Last determines—you guessed it! —the last message you opened from any computer. When you check your other account, we use this command to distinguish the new messages from messages you've already viewed.
Although nearly all mail servers support the last command, a few don't. If your email provider happens to be using a server that doesn't support last, then checking mail from your account on that server retrieves all your messages, instead of just the new ones.
You might also run into a problem if you first send a message to your other account, check that it's arrived, and then ask Yahoo! Mail to retrieve it. Under these circumstances, your message won't be downloaded because it has already been viewed.