If you want to create an OMPL file from My Yahoo!:
Open a tab of My Yahoo!
View Page Source
Copy and paste the code in the box in My Yahoo HTML Source -> OPML Generator
Select Download OPML file
Click on Generate
The OPML file is now ready to use in RSS Readers that can import OPML files such as Google Reader.
And from Google Reader to other readers that haven’t implemented yet the feature to directly import OPML files such as Feedly (here the instructions to import an OPML into Feedly passing through Google Reader).