Mine did not work at first either. Someone told me to turn off WiFi and re-setup my Yahoo Email Account on the iPhone and then Power Reset the iPhone and then connect VIA EDGE. He said you need to connect VIA EDGE the first time. That did the trick for me.
Now from time to time it stops working. I just see it trying to retrieve the mail and just hangs forever. One time a Power Reset of the iPhone got me going again. But most of the time I have to clear my INBOX on Yahoo Web Site to get it going again. Since I have "My Folders" setup, if mail goes into those VIA a Yahoo Server Filter, those do not get Pushed to my Phone. Only the INBOX. For those folders I have to just select them. Since I currently just send a COPY of my mail to Yahoo this so far is not a big problem for me but definitely needs to be fixed.