It's been driving me nuts, and finally, just now, I found a post on how to change it and thought I would share.
1. Go into your Settings (through the gear icon - the wheel in the upper right corner of the Yahoo Mail inbox page).
2. In the Settings page, click "Viewing email'.
3. Remove the check mark from the "Enable conversations" box.
4. Click "Save" at the bottom and voilà.