Please post back the name of McAfee product that you are using. McAfee's Parental Control feature does this.
I have McAfee Anti-virus plus, thanks!
Please check if Parental Control feature is included in your subscription. McAfee UI > Navigation > See if Parental controls is listed
Set up Parental controls by creating an Admin Password. ( You need to be a System Administrator for doing this )
Once setup Choose the age category of blocking. You can also protect other user accounts in the PC.
In our case you might need to select custom Options. Add yahoo.com domain in the Block list. Apply / Save
Reboot and check if yahoo is blocked.