An estimated 10,000 demonstrators on Tuesday attempted to march to the presidential palace, as President Ali Abdullah Saleh has refused to step down, dpa reported.
One protester said there were plans Wednesday for rallies on several main avenues of the capital that would eventually lead to a sit-in in front of Sana'a University.
Tuesday's march was only "a warming up for the protesters," one of them said.
Saleh late Monday again rejected demands to step down, saying those who were against him should challenge him in elections.
Presidential elections are due in 2013.
"Those greedy for power shall opt for civil discipline and choose ballot boxes, and if people put trust in them we will hand over power," Saleh said.
Demonstrations began in Yemen in February, with protesters calling for the ouster of Saleh who has been in power since 1978.
Meanwhile, the death toll climbed to 150 from an explosion at a munitions factory in southern Yemen, broadcaster Al Arabiya reported Tuesday.
Doctors said children were among the victims at the factory that was completely destroyed in the city of Zunjubar in Abyan province.
Security sources have blamed Al-Qaeda in the Arabian Peninsula (AQAP) for the blast, which came a day after the factory was allegedly raided by suspected al-Qaeda militants.