Have you created an access rule that allows PING from Internal to External? You can restrict this by creating Computer objects for both hte source and destination IPs but Internal and External should be good enough initially).
Also note, you can't use user based restriction on this rule - there is no user context for PING (ICMP) when ISA sees it.
Do you know for certain that Yahoo responds to PINGs? They did at one time, but it's been some time since I've checked. How about PINGing ISAs Default Gateway - that'd prove ISA is allowing it through.
From: fort frances.on.ca
Hmmm... C:\Documents and Settings\LLigetfa>ping www.yahoo.com Pinging www.yahoo.akadns.net [188.8.131.52] with 32 bytes of data: Reply from 184.108.40.206: bytes=32 time=76ms TTL=53 Reply from 220.127.116.11: bytes=32 time=60ms TTL=53 Reply from 18.104.22.168: bytes=32 time=62ms TTL=53 Reply from 22.214.171.124: bytes=32 time=85ms TTL=53 Ping statistics for 126.96.36.199: Packets: Sent = 4, Received = 4, Lost = 0 (0% loss), Approximate round trip times in milli-seconds: Minimum = 60ms, Maximum = 85ms, Average = 70ms C:\Documents and Settings\LLigetfa>
The School of Hard Knocks is a mean teacher. She gives the exam before the lesson.