We study the Kondo effect in a quantum dot coupled to ferromagnetic leads and analyze its properties as a function of the spin polarization of the leads. Based on a scaling approach, we predict that for parallel alignment of the magnetizations in the leads the strong-coupling limit of the Kondo effect is reached at a finite value of the magnetic field. Using an equation of motion technique, we study nonlinear transport through the dot. For parallel alignment, the zero-bias anomaly may be split even in the absence of an external magnetic field. For antiparallel spin alignment and symmetric coupling, the peak is split only in the presence of a magnetic field, but shows a characteristic asymmetry in amplitude and position.