To your first question, you cannot really make any queries through YQL to get data for all companies. It is more focused on getting data for a smaller query. (That is, it will not give you a complete dump of data from the entire Yahoo! Finance database.)
To your second question, here is how you can start learning Yahoo! Financial Tables in YQL:
- Start with the YQL Console
- In the upper left corner, make sure Show Community Tables are checked.
- Type
finance in the search field - You will see all the Yahoo Finance tables (about 15)
Then you can try some sample queries, for example:
select * from yahoo.finance.quote where symbol in ("YHOO","AAPL","GOOG","MSFT")
Update 2016-04-04: the current screenshot is displayed here showing the location of the "Show Community Tables" table that you need to click to see these financial tables: 
BrianC Feb 19 '13 at 4:58 2013-02-19 04:58
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