What it *should* do is to delete the message from your e-mail provider's server. Normally it would be sent to your computer but if you have blocked it with a filter it would NOT be sent, it would just be deleted from the mail server...ie it would just be GONE.
I can't actually confirm that it will work this way, my IP service provider has a pretty effective filter which holds anything considered spam then notifies me when there is a collection of messages so I can review them & accept them or not as I wish so I don't use kmail's built-in filter.