It is a bug and a known one. The issue is that the Win32 API uses “&..” sequences to identify menu items and the keyboard shortcuts used for activating them (an example: often you can activate the 'file' menu by pressing “ALT-f”. In the code the string “file” is written like “&file” what sets the keyboard shortcut ALT-f active for that menu). Basically we need to turn that off somehow in certain contexts. It is not very simple and that is why it is not fixed yet.
This only affects the display – not the data themselves.
The issue is documented here: http://code.google.com/p/sqlyog/issues/list . Refer to issue #3.