What an oversight! The Palm Desktop software lets you import CSV files from other PIM applications, but doesn't include an import for the datebook!
Unfortunately, there's no easy solution to this missing feature. But you're not entirely out of luck, here's a couple of possible workarounds:
After import to the Yahoo Calendar, it's a simple matter to use the Yahoo Export routine to export the calendar to a Palm *.dba file that can be directly imported to your Palm Desktop.