It is a Yucca, and that thing in the middle is the flowering stalk - it'll get taller and open up into white (usually, but sometimes edged with reddish brown) flowers. Remove the stalk at the base when flowering is done.

When should the flower open up, when I looked at the garden centre today at that type of yucca it said it flower april to may.

Just goes to show that the books aren't always right! Most common time is then, but I've got one in flower now, too, even though its so late. Probably the balmy conditions in September, hopefully it'll get a chance to open up and not just give up because of the winter.

To make the flower last longer, could the flower be covered at night when ever a frost is forecast

I wouldn't worry about that - I don't know where you live, or where the plant is sited, but it must be fairly sheltered, which is why the flower's coming now. It'll be the shortening daylight that really gives it a problem. If you want to try to protect it, you could throw a bit of horticultural fleece over it at nights, but make sure you remove it at the first sign of daylight the next day.

All three sides of the garden have bushes which are high enough so that the wind goes over the top and never really moves it.
I live in south yorkshire.

Now if you'd said south sussex or south london, I wouldn't have been as surprised! I always think of Yorkshire, south or not, as cold. You've obviously got a nice little microclimate going in your garden!

My yucca normally tries to flower about now but is usually beaten by the frost (I live in balmy Berkshire)

My yucca has never flowered!

I never worry about the flowers - I plant Yuccas for the shape and form of the plant; flowers are a sort of optional extra.

Lovely flowers but the leaf ends are lethal - could take an eye out - be careful around children or take the sharp tips off.