They do allow it. You need to download a small 60K file that will enable Yahoo! Mail to be the default email program for your computer.
Teach your computer to use Yahoo! Mail.
Using Internet Explorer just click "Continue" on the link below to download a small 60K file that will enable Yahoo! Mail to be the default email program for your computer. Whenever you click on an email address on any web page or in any computer program, Yahoo! Mail will open for you in a new window.
If Internet Explorer displays a yellow security bar at the top, click on it and select Install ActiveX Control from the menu.
If a security warning comes up with Yahoo! Inc. as the publisher, click Install.
Now you can click on an email address anywhere and your computer will automatically open up Yahoo! Mail for you.
You can even send documents directly from Word, Excel, or other Windows applications.
Requirements:
• Windows 95 / 98 / ME / NT / 2000 / XP
• Internet Explorer 4.0 or higher
http://help.yahoo.com/help/uk/mail/ext/ext-11.html