No you dont have to pay for it, but you do have to activate it.
Log into yahoo mail.
On your mail screen, click on options.
Under managment you will see pop access and forwarding.
When you click on it, you get a number of options.
I want to use mail forwarding and POP access. Please contact me occasionally about special offers, promotions and Yahoo! features. To learn more about Yahoo!'s use of personal information, please read the Yahoo! Privacy Policy.
Tick it, but dont worry about spam.
Lower down the screen, tick the box that says:
Only send me offers for categories I select below.
And simply dont tick any of the boxes! Sorted.
Heres a link how to setup with outlook express.
http://help.yahoo.com/help/uk/mail/pop/pop-06.html
If you need anymore help, ask or PM me.