Navigate to Account Settings > Email Settings:
Incoming Email (Email Account:)
Server name: imap.yandex.com
SSL required: Yes
Note: Yandex requires your "Email Sent As" to be the same as your outgoing server, meaning it will only work with accounts that do not use Multi-User. If you are having trouble connecting, be sure that this is the email address your have listed under My Account, in your Account Settings.
Server name: smtp.yandex.com
Port: 465 with SSL