If you want to learn Yngwie's style, study some harmonic minor scales, minor arppeggios in all positions and some diminished arppegios too.

I suggest trying out the A Harmonic minor scale, going up and down the scale repeatedly, starting off slow with a metronome at a comfortable pace gradually increasing the tempo until you can work up some more speed.

If you're only a beginer, try to work on 2 string runs repeatedly, and gradually increase by playing on 3 strings, then 4 strings etc.