I had the same issue. The problem is you haven't deployed the Yammer for SharePoint WSP correctly.
Instead you try http://success.yammer.com/integrations/sharepoint/ this link in which select the online option
INSTALLATION::
1 . Download the web part from success.yammer.com.
- From Site Actions, click Site Settings.
- From Galleries, click Solutions.
- Click Library.
- Click Solutions.
- Click Upload.
- Browse to the Yammer for SharePoint Online wsp file.
- Click Activate.
After which you can easily add the web part for Yammer.
Prerequisites: your service account needs to be configured with Yammer credentials.