Well it certainly sounds like some sort of data is attempting to execute something.
By default, yahoo automatically uses the bulk mail folder to dump spam in unless you specify otherwise.
When you log into yahoo mail, click Options>Spam Protection and select "Immediately delete these messages upon receipt". It may take a little time but I believe it should empty that folder.
I wouldn't drop any of my defenses (i.e. Anti-virus, Anti-spyware, etc) just to see if I can access it, that's for sure.