iPhone 4S message to enter password for CalDAV
From what I've seen, often when it asks for a password, the original one was entered incorrectly - something very easy to do on an iPhone. First, try entering the password to see if it goes away. Chances are, it is probably not syncing with your Yahoo calendar and won't unless the password problem is corrected.

You can also go to Settings > Mail, Contacts, Calendars, and select the account named "Yahoo", and turn off the calendar for that account if you do not wish to have it in the Calendar app.

If you currently are receiving mail to that Yahoo account (if there is one associated with it) on your phone, then it may be a different problem.