You can check in Programs & Features in the Control Panel (Classic View) to see if a Yahoo item is listed to uninstall for this, but it usually somes as an option while installing some other program. Have you installed anything before this appeared?
Is this a Notification area tray icon by the clock, then you may be able to right click on it and click exit/close to get rid of it. You can also hide it to. This will show you how to.