Hi Carlin. That's a pretty big question, so I'm not sure I'll be able to answer in an exceptional amount of detail. Let me at least see if I can get you pointed in the right direction.

Authentication
As you noted, all of our service authentication is done through OAuth. That's the reason the URLs won't work in your browser -- the browser isn't passing around OAuth credentials. So the first step you'll need is to put together a basic program that can set up a valid OAuth request. You said you'd searched around high and low for documentation, but here's some more: check out the Welcome Thread at the top of this forum and read over all the links in the OAuth section (most interestingly, the OAuth Authorization Flow and the OAuth libraries link). The first libraries at the libraries link are for .NET, so you should try to play around with those.

The flow for getting user specific data should be something like:

1. Get a request token from Yahoo!, which includes a link to present to the user.
2. Send the user to that link, and have them come back with a verifier token.
3. Use the verifier plus the original credentials to get an access token.
4. Pass the access token as part of your request in order to access the information.

So you'll definitely need to send a user to a browser at some point to make sure they can log into Yahoo! and then give your application permission to use their data.

Building an App to Just Get Your Own Data
It seems like this is something a lot of people are trying to do, which doesn't really fit well with the whole "get a user to grant permission every time" model of OAuth, because you only ever have one user (yourself). What I've typically been recommending that people do is:

1. Set up a program like described above to prove that, given a user, you're able to get valid access tokens for them.
2. Using yourself as the user, go through that process and save the access tokens that you get back.
3. From your application, whenever that access token expires, refresh it and save that token again.

You can indefinitely refresh tokens, which means that, once you have that initial token in place, you should never need to play with the OAuth authorization flow again (aside from when you need to refresh the token, which doesn't require any human input). You can just use it as a stored key with which to make requests to our services (in the context of your own user).

Does that make sense? Basically: use the libraries, and take advantage of the fact that you can indefinitely refresh your own access token.