Someone using IE7 was having trouble understanding the directions for adding these. Here's a step by step for IE7:
1. Go to this page:
2. Right-click on one of the three bookmarklets ('ClipYahooRoster Bookmarklet', 'ClipYahooRoster Bookmarklet - compact', or 'ClipYahooRoster Bookmarklet - with stats')
3. Select 'Add to Favorites...' from the menu that pops up. When it says 'Security Alert: You are adding a favorite that may not be safe. Do you want to continue?' select 'Yes'
4. An 'Add a Favorite' dialog box should popup with a default name 'Clip Yahoo Roster' (depending on which of the three you chose above), and 'Create in' set to 'Favorites'. Click 'Add'.
5. Go to your Yahoo roster page in the browser.
6. Go to the IE favorites menu, and select the bookmark you just added ('Clip Yahoo Roster'). A warning will pop up saying 'Do you want to allow this webpage to access your clipboard?'. Click 'Allow access'. At that point it should display a dialog saying 'The following roster has been copied to the clipboard: ...'. Click 'OK'.
7. Your roster should be on your Windows clipboard to paste wherever.
Repeat steps 2-4 for the remaining two bookmarklets, and you should have three bookmarks in your favorites.