I have Yahoo and may be able to test this some. To Severedheart, are you using a built in generic email app, the Yahoo Mail app*, or Yahoo Mail via your web browser?
I'm guessing you have the Yahoo app, and the reviews for it have been horrible. That's why I don't use it and use the generic one that came with my Bionic. If an email has an odd attachment that it doesn't like (i.e. Zip, pdf, etc), I go to the actual mobile site to download. In that case, I've found it sometimes renamed the file to whatever their servers encrypted it too, including the extension, and I have to manually rename with right extension for the right apps to see the file. I've never had any problems with downloads being saved but not accessible with at least a file/folder explorer.