New Yahoo Mail interface unread messages not shown in bold

You should use the new Yahoo mail interface. It is easier to see your new options.

1. Create a Folder
2. Go to Options > Filters > Add Filter (then set up your filter to move to the folder)

These are the steps you can follow to delete unread messages but it's not a clean way but you've only this option to do so :

1. Change your view to "Sort by Unread". View is on the same row as the Delete button.

2. Here you have two options, you can either, click on the individual unread message or you can click on the select all check box and deselect all the read messages. Which ever that requires less clicking. Either way, you want to have only the unread messages selected.

and select "Delete"