No, you only need to include this link in your privacy policy, in the paragraph explaining the Yahoo! Web Analytics tracking methodology.
For example, in the following paragraph the Opt-out link is accessed by clicking on click here:
“Third-Party Web Beacons: We use third-party web beacons from Yahoo! to help analyze where visitors go and what they do while visiting our website. Yahoo! may also use anonymous information about your visits to this and other websites in order to improve its products and services and provide advertisements about goods and services of interest to you. If you would like more information about this practice and to know your choices about not having this information used by Yahoo!, click here.”
The Opt-out link redirects visitors to the following page, where they can opt-out from being tracked:
http://info.yahoo.com/privacy/us/yahoo/opt_out/targeting/details.html
For more information about Yahoo! Privacy Policies, you may visit: