A very bad idea. Emailing them tells them that the address is real, so you'll get even more spam. Also the addresses that the spam is supposedly from won't really be the spammers' addresses.
Don't reply to the spam, and ideally don't even open it.
What email system do you use? I'd recommand you do one of two things:
If you use Outlook Express, change to using Thunderbird (free download). It's the same kind of email client, but also has a great spam filter that learns what is and isn't spam. Ends up that you'll still get spam (you always will), but it stops being in your inbox with your good mail.
Or, use gmail. Google's free email service has about the best spam system going.
http://www.gmail.com