Sending and receiving mail are very different. For sending, you use you providers smtp-server. For receiving, you proberly use the providers pop3-server. That you can send only means that you setup'ed your smtp-server correctly. To check the settings of the pop3-server server, click on Setup KMail -> Accounts -> (select your account) -> Edit.
There are other possible reasons for this, for example a firewall which blocks port 110 (in case your provider uses pop3).