It's not really easy to do unless you know what you're doing. You'd need to get a new computer especially for it (ideally), install some flavour of GNU/Linux, and use DSPAM together with procmail. And it'll have to be on 24/7, always connected to the internet. Basically, it's one way of doing things, but I'd suggest just doing something like this:
http://www.dreamhost.com/shared/comparison.htm l
That cheapest shared hosting system not only gives you loads of space for a website, but also gives you control of your email. It comes with spamassassin, which while it isn't as good as DSPAM overall (imho anyway), it's still good. And it gives you IMAP, which is far better than POP, as long as you have a constant internet connection.