By default, Yahoo and other web mail providers (Hotmail etc) don't use POP3 to display mail. Kmail or Moz Messenger alone won't be able to read mail from your Yahoo account. (Note that this is not a Linux-specific issue!)
You can use other software to download your mail from Yahoo to a local POP account, then read the mail in the client of your choice. Try: http://fetchyahoo.twizzler.org/
or similar projects.
If you HAVE paid for Yahoo's premium service, you should be able to use Kmail or Messenger without any additional software. In that case, you will just need to adjust the settings in your mail client appropriately. If this is the case, post more detail about the problem you are having and I'm sure you will have some advice soon!