I get that the sun is producing white light which is scattered threw our atmosphere so that the light of the sun reaching our eyes is yellow.
Not very much. When the sun is high in the sky, most would describe the light as "white", not "yellow". That would be more true for a sun low to the horizon.
So how come if I look to a piece of white paper under sunlight or a cloud in the sky, I see it white ?
The human visual system does not have a fixed mapping from input wavelengths to color perception. There are many types of "filters" in place between the two. In particular, we have an automatic "white balance" system. When you walk from a room with a single incandescent light to outside, the light hitting your clothes is very different, but you will still identify (mostly) the same colors in both places.
This system isn't foolproof, but works very well for most lighting systems you find.
If I understand you right, you're referring to the phenomenon seen in this picture (from the first Google hit), that near the horison the color of the sky is more light-blue (not exactly white):
Rayleigh scattering
The scattering in the atmosphere is for a large part Rayleigh scattering off of nitrogen and oxygen molecules, which are much smaller than the wavelength $\lambda$ of the light, and which has a preference for forward and backward scattering. If the Sun is more or less above you, the horison is roughly at 90º, which is the direction on which scattering is least likely.
Rayleigh scattering has an huge wavelength dependence of $\sim 1/\lambda^4$, meaning that blue light is scattered much more efficiently than red light. This is the reason for the blue sky in the first place, and the reason for the red sun at sunset.
Mie scattering
However, close to the ground — which is what you look at when you look at the horison — you have more water droplets which have a size of the order of the wavelength. In this case, the scattering is not Rayleigh scattering, but the more general solution of Mie scattering, which is not strongly wavelength dependent. Thus, all the colors are scattered more or less equally, producing a whitish glare.
(My first answer was not good, and did not take into account the Mie scattering. I'm sorry.)
Best Answer
If you were to look at the sun from the surface of the earth (I don't recommend it), it would seem yellow, but from space it's actually white. This is due to the scattering of blue light you mentioned. However, not all of the blue light is scattered, so most of it still directly reaches the earth. During sunrise and sunset, this effect is stronger, because the light has to travel further through the atmosphere, giving the air the chance to scatter more of the blue light, resulting in a more orange looking sun.
The sky looks blue because blue photons that would actually miss you are scattered in your direction, so that they reach your eyes. The intensity of this light is not strong enough to make everything look blue, especially when there is direct light from the sun, which is much brighter.