Looks like you have made a choice to allow Yahoo to sync your contacts, and it's asking what choice you want to make for that sync of your data.
What other choices are in that drop-down in the middle of that window?
It looks like if you choose to sync, that should stop the window from appearing.
What is the result if you simply choose to sync your contacts from that message window that you see?
If this continues to be an issue, and you can't find other information in Yahoo Mail help, you may want to contact Yahoo! directly.