Is there any way to customise the reports in Yahoo so you can build your own, as you do in MSN and Google?
I think you have misunderstood. Under the reports tab are some standard reports. I want to customise them, like you can in Adwords.
If you are looking for customization like AdWords where you can add/remove columns and select only specific ad groups and keywords then no you will not have that ability in the Yahoo reporting. Even before the change over to Panama the Yahoo reports were always lacking in that ability. The best you can do is select the report that gives you the best detail you need, export it to an excel and then work the data from there to what you need.