Thank you for the additional information.
You are right, ALT acceleraton for the menu bar currently does not work. (Seems to be a bug in JIDE, the look and feel yEd uses on Windows, see JIDE 3.5.11 release notes.) We will update the look and feel for the next yEd release which hopefully fixes the problem.
In the mean time, try typing ALT (i.e. press ALT, then release ALT) followed by typing F (again press F, then release F) instead of typing ALT+F simultaneously. This worked on our Windows 7 test machine.