I was told that a single XML Sitemap can now be submitted to Google, Yahoo and MSN. Is this correct? Does Yahoo still need a URL list instead?
yes, this is correct yahoo also supports sitemaps more info in wiki + submision urls en.wikipedia.org/wiki/Sitemap.xml
All major search engines can handle XML sitemaps. You may want to check this sitemaps article as it includes information and code examples of all sitemap kinds.