The Yahoo Directory is the original web site directory. They now use the Open Directory Project.
Registration with Yahoo Directory Submit will cost you $250(US) per year ($600 if you have adult content). They conveniently exclude the instructions for free submission from their home page. To submit a site for free, go to their directory and choose your category using the left sidebar. When you have found the appropriate classification for your site, and click on Suggest a site in the top left corner. If the category is open for free submission, you will see a Suggest via Standard Consideration button. If not, you will only be given the option to use the paid submission.
The Yahoo Canada Directory works much the same way, but is a little more open.