I believe the option comes with the received email....not sure which emails get this option but probably the ones that WLM decides in it's wisdom (?) may be undesireable...
If you then click on this option AND have the bounce back option ticked in your Safety Options, the email is bounced, the sender blocked and the email then deleted............
Probably more to it than that as I did see somwhere that POP3 accounts don't get this feature....maybe CF could comment some ...............