In a large, heavy saucepan, heat oil and sherry or water until bubbling. Add onion and sauté 5 minutes, stirring frequently to prevent browning (if mixture appears dry, add 1 to 2 tablespoons water).
Add carrot, celery, bay leaf, potatoes and stock. Cover pan, bring to a boil and cook over medium heat 10 to 15 minutes, or until potato is tender. Then add milk, corn, chicken and simmer 3 minutes.
Discard bay leaf. Purée 1 cup soup in a blender, then return to the pot. Season with cayenne. If desired, garnish with a dollop of nonfat yogurt.