Follow igorian's first advice. If you don't want it to download and delete any more emails, disconnect your computer from the internet (unplug the phone, or switch off the router or cable box) before your open OE..
Then go into OE and set it to "Leave a copy of messages on server"
OE is behaving correctly; you have added an account to OE for your Yahoo mail and told OE that it uses a POP3 server. POP3 is designed to be a collect-retrieve-delete method that removes mail from an internet server and stores it on your machine. Another protocol, IMAP4 allows you to work with messages while they are on the server (move messages around, forward and delete them) without having to download them first, but Yahoo do not (as far as I know) offer an IMAP4 service.
If you investigate and find that they do offer IMAP4, then you should create another account in OE for your Yahoo, this time stating "My incoming mail server is an IMAP4" in the account creation wizard