i am not sure how to install the stencils?

you can open them directly into visio. I then had to create new shapes and add each item individually, by dragging them over to the shape box.

I was able to open the VSD files and just save as VSS stencil files. It took about three minutes, but it works in 2007.

Useful linl about it...
http://www.youtube.com/watch?v=QzQoFp2A7Sg

The problem is that Yahoo stencil is in wrong format for Visio. They are in format XML Drawing (*.vdx) which cannot be used as stencil. So, the result is that stencil is not usable.
So I decided to improve current stencil for iPhone and convert it to appropriate format, Stencil (*.vss). I added new elements - iPhone 4, loading popup, note, clear text, black version of Safary, I improved font size and weight, visual improvements of buttons etc. I send this improved version to Yahoo, so I hope that they will update their stencils. Read more on Inside My Ideas. Fow now

Download iPhone Visio Stencil 1.1 (vss, vdx)

Update: Fixed broken links, now lead to Megaupload.

Download iPhone Visio Stencil 1.1 (vss, vdx)