I have a site, some folders are indicated in the robots.txt disallowed for bots to crawl and index. But Yahoo still indexed files under these folders, so I want to know if Yahoo bot DO recognize and comply with the robots.txt?

As far as I know, Yahoo should be following robots.txt rules. To ensure that all search engines avoid certain pages, there are further steps you can take:
-make sure all links to those pages use the rel="nofollow" attribute
-make sure none of those pages are listed in your sitemap
-add a noindex, nofollow meta tag on all of those blocked pages

With the robots.txt make sure it is yahoo friendly as well as the other serps also do what Jeremy says above.. Some of your robots.txt data may need an adjustment for each different engine.. slight variations.. in yahoo help section there should be info on this..

but you don't have to have one do you???

same here, yahoo indexed my ico and css files, lol