I keep receiving emails to my yahoo adress. This email has no return
address and no header. What kind of email and where could it be from?
How is this possible?

The protocol used to send and receive email across the Internet is
called SMTP (Simple Mail Transfer Protocol).  You may already be
familiar with this.  Unfortunately, SMTP is a very loose protocol,
which is what makes it so easy for SPAMers to fill our Inboxes with
junk.  A person can very easily interact directly with an SMTP server
(mail server) to send mail that does not include header much header
information (such as no return address, no "from" address, etc.). 
This also means that an automated system could be built to accomplish
the same task.  If you would like to read more and learn more about
how this is possible and how SMTP works, then you may be interested in
this article:
http://www.nolamers.com/docs/smtp_email_tracing_spam_filtering.pdf

It is a project I did for school a while  back that demonstrates how
to interact with SMTP.  It is somewhat technical in nature, but gives
real demonstrations that you could even perform yourself to see how
mail without typical header information can be sent.

Although this may not be exactly the answer you were looking for, it
will hopefully shed some light on your question.

I've experienced similar problems in the past.  I had my email address
as the send-to field in my personal website.  The form I used as a
contact form had fields for subject, email, and message body.  Because
I did not properly parse those fields before sending the email via
php, users/robots/spammers were able to crawl into my site and
auto-fill fields.  This is a common practice where the robot will add
a carriage return (\n) to a subject or email field, and attach their
email address as a bcc.  If they receive the email successfully, it
means that your script is vulnerable and they will continue spamming
with this contact form.

Here is a link with more information: 
http://www.anders.com/cms/75/Crack.Attempt/Spam.Relay

I hope this was helpful.