Here is a list of things you can do to help prevent receiving spam in the first place:
Do not use a catchall email account on your domain(s). Only list aliases and POP accounts that you actually use. This stops the frequent spams that fire off emails to a list of names on a domain.
Never, ever, click on any links in any spam - especially not to "unsubscribe". All this does is confirm to the spammer that they have a "live" address.
Configure your client to read any incoming emails in plain-text, never html. Html spam emails contain links to graphics and scripts on spammers sites, confirming your email address. If you are using Outlook XP or 2003 you can disable viewing in html, instructions are given here: http://www.outlook-tips.net/howto/plain_text.htm