Big scholarships tend to get given out during the calls, for the rest <15k they often go out with admissions packages. From what I know about 1/3 of kellogg students get some sort of free money (not counting sponsored students). There are also some scholarships that only go to 2nd years who excel over the first year.
Don't give up hope on getting a scholarship if you didn't hear when you got admitted. Submit your financial aid package and then see what you get. Mine actually increased for 2nd year, so that happens too. However, even with scholarships it is very easy to graduate with 100k of debt if you aren't sponsored by your company or mom/dad. For a while I wish I had cashed out my 401k but now I am glad I didn't since it has rebounded nicely...think twice before you blow all your savings on school. Loans suck but you can pay them back over years as your income grows. They say most people pay them off within 5 years which I believe, especially if you are in a field where you have bonus potential.