I'd like to know if is it possible to browse all links in a site (including the parent links and sublinks) using python selenium (example: yahoo.com), 

 fetch all links in the homepage, 
  open each one of them 
  open all the links in the sublinks to three four levels.

I'm using selenium on python.
Thanks 
Ala'a
Sure it is possible, but you have to instruct selenium to enter these links one by one as you are working within one browser.
In case, the pages are not having the links rendered by JavaScript in the browser, it would be much more efficient to fetch these pages by direct http request and process it this way. In this case I would recommend using requests. However, even with requests it is up to your code to locate all urls in the page and follow up with fetching those pages.
There might be also other Python packages, which are specialized on this kind of task, but here I cannot serve with real experience.
Browse links recursively using selenium