As the airplane yaws to the left, the right wing is temporarily pushed forward, and the left wing is temporarily pushed aft, relative to the yaw axis. The temporary increase in speed of the right wing causes increased lift, while the temporary decrease in speed of the left wing causes decreased lift. Therefore the right wing rises, the left wing drops, and the airplane rolls.
If anyone actually believes this, go and try it in an aircraft with no dihedral and straight leading edges perpendicular to the fuselage - like an Extra 300. A 'boot-full' of rudder will create mostly yaw and hardly any roll. Then try it on an aircraft with dihedral such as a PA28 and see the difference.
When explaining this to my students, I used to get a piece of A4 paper and fold it in half longitudinally. Put a slight bend in half way and then point it at the student getting him/her to say which side they can see more of when rotated in the yaw axis. Then explain that's the side with the greater angle of attack, more lift and why the aircraft will roll when yawed - assuming it wasn't the Extra! For those the other side of the Atlantic, letter will do instead of A4, - but the aspect ratio won't be so good!