Most vaginal yeast infections aren't severe enough to require over the counter medication, let alone prescription drugs. In fact, using such products puts you at risk of breeding resistant strains of yeast in your tender bits (ouch!) Douching with yogurt is one of several home remedies that can clear up all but the nastiest infections.
Long story short, acidophilus (one of the active bacterial cultures in yogurt) releases small quantities of hydrogen peroxide, which counteracts (by which I mean kills) the yeast that caused the infection in the first place. This can in turn also help restore normal vaginal pH, which is usually a bit more acidic than is really ideal for yeast growth (note that it's normal for the human body to play host to yeast and other fungi, as well as bacteria, but every now and then the little critters overstep their bounds). What's really important in this paragraph is that you need to use yogurt with active cultures, or this won't work. Also you need to use plain, unsweetened yogurt, because (as you know if you've ever baked bread), yeast love sugar. Whether they're the bread-baking kind or the kind that normally grows on a person, the little fungi feed on it and grow and grow, and if you've got a yeast infection more yeast growth is pretty much the last thing you need or want. So use plain yogurt, and maybe cut back on your sweets for a bit in general if you want to be really careful.
Other pointers: you don't actually have to get a douche bag and fill it with yogurt. If your infection is really mild, you can just dip a finger in yogurt and apply it yourself. Or you can cover a tampon in yogurt or just take a spoonful and apply it that way. None of these methods are for the squeamish or faint of heart; if you aren't comfortable enough with your body to insert tampons without the help of an applicator, you might want to try something else. However, if you do happen to have tampons with applicators lying around, the applicators are perfect for filling with yogurt and sticking in the freezer to make "yogurtsicles" which are easier (and less messy) to administer than regular yogurt. It sounds cold, but it's way less chilling than inserting an ice cube (which may seem like a good response to itching but it's something I really don't recommend, not that I'm speaking from personal experience or anything). You'll need plastic applicators, unfortunately; the cardboard kind just stick to their frozen contents and defeat the entire purpose of this exercise (again, not that I'm speaking from experience or anything). Finally, you can buy active yogurt cultures in tablet or capsule form at many health food stores and those are less messy (and more vegan-friendly) than anything I've described so far. You can either insert the capsules directly or break them open and dissolve their contents into water and use the resultant solution as a douche or apply it with a tampon.
Regardless of how you apply the yogurt, you'll probably want to wear some kind of pad or pantyliner to avoid ending up with yogurty undergarments. And finally, menstruation will help clean out all but the very worst and most persistent of yeast infections, so here's to "the curse" (though anything that makes the itching and burning stop is a blessing, I say).