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I made few websites with Self Registration module. I amend all fields in CMS Mailer and other places like sender email/name and subject. In Gmail it goes to inbox, not to spam box. But still there are problems with Yahoo! mailboxes: sometimes mail is late by few hours, goes to spam box and sometimes is not even comes at all. Maybe anybody had similar problem and solved it?

if your mail is being received quickly by gmail  but not by yahoo, then it's not a problem with CMSMailer, SelfRegistration or any CMS code (except perhaps the formatting of the message).

You will need to do research to find out why Yahoo sometimes treats the message as spam, and then adjust the appropriate template to solve that problem.