I take a four step approach to spam:
1. I use SpamAssassin at my ISP to block the bulk of spam. I set the required hits to a rather conservative 8.0, and block all email with a MICROSOFT_EXECUTABLE. Spam-flagged email is discarded automatically.
2. I use the Mozilla Thunderbird email client with active Bayesian filtering to move spam into a trash folder. The Mozilla clients do a great job of spam handling. Spam is looked at before discarding.
3. I report all spam that gets through with SpamCop ( http://www.spamcop.net ). Mozilla email clients are very convenient for forwarding a folder full of spam at one time.
4. I never, never, never reply to spam or click the “remove” links.