Yahoo! Video makes it simple by providing the embed code that you can copy and paste:

• From the video page, click on "Share" in the player controls and copy the embed code and paste into the markup of your webpage.
• If you want to display just the video thumbnail on your webpage, you can copy the thumbnail code and paste it into the markup of your webpage. When a visitor to your site clicks on the video thumbnail, they will link through to the video page on Yahoo! Video.