One best way to fight spam, from my personal experience, is to forward all spams to
uce@ftc.gov. Instead of forwarding, you can also SEND the headers giving a subject name Spam Reporting or something similar.
If you continue to do that for 2/3 weeks, you'll start seeing the lasting benefit.
For outlook express users, turn off that preview pane. It slows down the opening of an email a bit but definitely worth the wait.
Mail washer and Checkmail are two programs that allow you to preview and delete the email without downloading them from the server. You don't need these programs if you turn off the preview pane in outlook express.