change your account setting in OE so the incoming mail point at 127.0.0.1 on port 1110, (or the port spampal tells you to use) You can find these setings for port on the advanced tab of the account properties page.
A good walk through is a t
http://www.spampal.org/docs.html
Spampal downlaods the mail to itself and then acts as a local mail server. If you have a lot of incoming a 'cleaner' solution would be mailwasher which checks mail on the server and can clean automatically or manually 'before' you downlaod using your mail client, saving your bandwidth