It is sometimes possible to do an Open In when previewing files in Safari, but it doesn't look like this will work for music attachments.
If you have to use a browser, the best bet is to get one that supports download. I use Atomic for this, though there are several other options.
To visit the mobile email site in Atomic you need to make sure you are set to the default browser identification under it's settings. This is the cog icon to the left of the URL bar. Then navigate to get to your Yahoo mail as usual. (If you are going to do this a lot, then I recommend you save the bookmark after signing in). When you see the attachment you can tap and hold on it to get a list of options. Choose Download. You can change the name of the song here. That may be necessary. In my trial it ended up named as 'download'. Don't forget the extension.
Now tap on the icon to the right of the search field, a down arrow going into a tray.
When the song finishes downloading, tap on the blue arrow to the right of the song, and choose open in external app. If this does not work, make sure the file name has the right file extension. If it does not choose Change Name or location, change the name and extention then try again.
You should get a list of compatible apps, including OPlayer.
And now you know why I suggest you use the Mail app, if you have that choice.