But due to some technical reasons, I can't proceed this method completely. So, I searched another easy techniques then I got SysTools Yahoo Backup tool which helps to complete my task within few minutes. Hope this will help you to export mails from Yahoo to Outlook.
There you can create the backup of yahoo account and save it to hard drive with PST file format that makes your email safe and secure from the hacker. And PST file format is the safe format that you can simply access with Outlook client so you can try this tool to take backup of your yahoo account. visit here: Yahoo Backup Tool – Convert Yahoo Data to PST