If the check box is formatted for check boxes and the value list includes "yes" as one of the values, then importing "yes" into that field should show as having that check box selected.
Two reasons why it wouldn't:
1) The value imported isn't exactly the same as the value in the value list. It's not case sensitive, but a space imported with the letters "yes" would be enough to keep the check box from showing as selected.
2) Is the field a field of type text or number? It should be defined as text in Manage | Database | fields.