You could try using Mozilla Thunderbird as your email client. This enables you to easily mark something as spam (or Junk) mail and delete it. You could also try setting it to just download the headers. This way, the only mail that gets downloading is that which you read.
It takes a while to train it, but Thunderbird is fairly good at recognising spam and marking it appropriately. Note, unless you tell it to, it will not delete the spam.
To download, go to
http://www.mozilla.org/products/thunderbird/