What email service are you using? I find that gmail (Google's email service) does a good job of identifying spam and automatically sending it to a Spam folder. So, perhaps you should make a transition from your current email service to gmail.
Setting message rules can help, as mentioned in previous posts, but spammers have devious ways of constantly changing the sender's address, thereby thwarting the use of filters or rules to send spam to the Trash or Spam folder.