Everybody who posts questions about email always forgets to tell us how they're getting their mail!
Are you using a mail client (such as Outlook Express, Outlook, Thunderbird, etc)?; if so, which one? Or are you getting your mail through a web-based service (e.g. Hotmail, Yahoo, your own ISP's service, or whatever)?; if so, which one?
Assuming that you're using a mail client, using Mailwasher can prevent spam from being downloaded to your PC:
http://www.mailwasher.net/
For mail which gets as far as your client program, you can try creating appropriate message rules to direct it to your junk mail folder. With Outlook Express (and, I believe, Outlook) that's achieved by going to Tools > Message Rules > Mail and completing the relevant fields.
Chris