There is a very interesting article on all this at on the SPAM Cop forum.
One suggestion they make is using a free bit of software (http://yahoopops.sourceforge.net/ )
to get all your yahoo groups mail directly from yahoo which could be a
possibility, but essentially the only real way round it is to not have
Yahoo Group forward your group messages to your mail account but rather
collect the messages either directly or by such a third party