Simplest way is to get the program "Mailwasher"
Set it to load at start-up, then keep it running - it has its own spam filter (automatically marks for deletion the "known" spam). It LISTS (does not download) your e_mail headers and senders, so you can immediately mark spam or unwanted messages you know are spam (and, blacklist the sender) Equally, you can create a "friends" list.
When you then click "E-mail" program" on the toolbar, all the messages pre-marked for deletion are deleted from the ISP server, you only download "real" mail.
Also, you can/preview/read text messages (but not attachments) and do a quick reply (and mark for deletion) without downloading them - just delete after reading.
Excellent program - only thing is, rememberr to use your real e_mail prog off-line, close it immedioately after use (Reason - Mailwasher checks for mail every 10 minutes (default, can be changed). But, so does Outlook Express - so if you have both running, you will bypass Mailwasher and continue to get spam.