You need to upgrade your account to a paid yahoo account (mail plus, I believe it is called). Only then will you be able to forward messages.

After all, why should yahoo allow you to have a free e-mail account and forward it to another account, such as competing hotmail? By making you visit their site, you will have to see their advertisements. By paying for your account, you will have taken over the payments from the advertisers, and thus have more abilities.