Protest leader Suthep Thaugsuban led a convoy of 200 cars to the office of the Permanent Secretary of Defence in northern Bangkok, which Yingluck and the cabinet have been using as a temporary office since protesters closed down Government House in December.
The People's Democratic Reform Committee (PDRC) led by Suthep said that demonstrators would follow Yingluck wherever she goes.
The move came after the caretaker government mobilised thousands of policemen to disperse anti-government protesters at several sites across the city.
The dead included one policeman.
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The PDRC said it will also seek a Civil Court injunction to protect right to demonstrate, which it says were abused yesterday by the police attempts to reclaim rally sites.
The protesters backed by the main opposition Democrat Party have been rallying in Bangkok since November to try to oust Yingluck, whom they view as a proxy for her elder brother Thaksin Shinawatra, a former premier who was toppled in a military coup in 2006.
The premier called for a snap polls on February 2 to defuse crisis but the Democrats decided to boycott it. The protesters blocked polling stations in Bangkok and southern provinces.
Yingluck ran into further trouble yesterday the National Anti-Corruption Commission said it has found grounds to press charges and initiate impeachment proceedings against her for alleged negligence and dereliction of duty in the rice scheme which has cost the country dearly.
A large number of rice farmers who entered the programme have not yet received payment and are now in serious financial difficulty.