This example to load a url in an iframe works. However when I change url to something like http://www.yahoo.com the iframe doesn’t load antyhing
Here is an example side by side.
In Network tab of developer tools for Chrome, I see that request to Yahoo was cancelled. In FF it doesn’t give any errors, just doesn’t return any content. IE9 gives a message that It cannot display this content.

This happens in Chrome, FF and IE9 (I haven’t tested previous versions of IE).
That is because Yahoo itself prevents this from happening.
It has been noted here: https://stackoverflow.com/a/9013722/476786
To see for yourself, try setting the source to http://www.google.com/ which won’t work as well, but then try http://www.bbc.co.uk/ and that will work.
Possibly works as described here: https://stackoverflow.com/a/2896705/476786 using
X-FRAME-OPTIONS