Your choice of e-mail client (such as Outlook Express, Thunderbird, etc) or web browser (such as Internet Explorer, Firefox, etc) can't stop spam from arriving on the server of your e-mail provider.
There are only two things you can do. The first is to delete the mail from the server before you download it, the second is to adopt a 'multiple e-mail address' approach to the problem. The ways of doing this are dealt with, here:
http://www.theanswerbank.co.uk/Technology/Ques tion345829.html
Chris