If you can do it in Windows, you should be able to do it in OS X
The fact that you are getting these stange folder messages might suggest that there is a problem with Mail (I assume you are using Mail). Have you tried downloading a different email client, such as Thunderbird? (
http://www.mozilla.com/thunderbird/)
Try setting that up to access your pop3 account and see if that works. When I set up both Mail and Thunderbird, the first time I did a Send/Receive or get mail, it would ask for my password, at which point it would have an option to store this in my keychain. That's all you should need to do.
However, please bear in mind I haven't tried accessing Yahoos pop3 and I have heard that they didn't offer it for free in the UK, which is where I am, however if it works in Windows for you then you should have no problems.