it looks like / is converted to %2F
And that would be entirely correct and the right thing to do. The encoding rule is very specific. / is a reserved character and must be percent encoded when used as anything else than a separator.
and the website doesn't accept this
I doubt that yahoo's website is faulty, so I'm certain that it would accept a %2F in the query string. In fact, I'm certain it would reject a URI that used / in the query string instead. Are you sure your problem is not because of something else? What is the exact error you get?