According to recent announcement, if you can"t add Yahoo! Weather Module, Please try it again. I have just found the problem and solved it already. The problem is newline. The newline was converted to <br> which leads to incorrectly processing the module during add mechanism. It should work by now.
To make it more publicized, I also submitted this module to Unofficial Google Modules so you could found it at Yahoo! Weather for __UP_rssname__. The word __UP_rssname__ is a keyword that expected to be replaced by a preference setting namely rssname.