I'm posting this because I spent three days pouring through forums looking for a solution to the problem of getting my yahoo email push to work on my IPhone.
Finally I gave up and thats when I found the solution.
I jumped into my Yahoo mail via the iphone browser, logged in, and started reading my emails. Thats when I noticed a link saying "Get faster email on mobile" so I clicked it thinking this is going to tell me what I already know. To my surprise it said, "You can get yahoo push on your IPHONE" and then it gave me the same steps that I had already tried.
So I tried them again. Thinking well maybe they know that I have an iphone now. Sure enough it worked without a hitch this time around, and I have been in yahoo push mail heaven for a week now.
So I hope this helps the others out there that have been having problems getting this feature to work. Enjoy!