...which reminds me...
Winnie, if you enable uploading of photos to your files area, then you can move them around with the scissors icon.
Go to Admin->Settings->Files and click the box "Allow Photos in Files." Be sure to save your changes.?
That won't help you much with moving any existing photos out of existing photo albums but I suspect this is probably what you were doing on Yahoo.
Hope this helps (a little),
Bruce
Bruce Bowman