As Fo3nix says, there's not much you can do to stop people sending spam. If you acknowledge receipt in any way (e.g. by sending a reply or by clicking on a link which says 'Click here to unsubscribe') you'll either get a 'bounced mail message' (because a fake 'reply to' address was used) or, even worse, the spammer's server will see that your e-mail address is currently in use and send you lots more spam.
The best thing to do is to have one prime e-mail address which you only give to trusted friends, relatives and colleagues. Then set up different e-mail addresses for particular purposes (e.g. to subscribe to discussion groups). If one of these additional addresses starts to get flooded with spam, you can change it without having to inconvenience the people who you trust.
Lastly, you might want to take a look at Mailwasher. It's a free program which helps you manage spam problems. Normally, when you use Outlook Express or similar software, every e-mail is downloaded, in its entirety, to your PC. With Mailwasher, you can examine the headers of all your mail before the main content is downloaded. You can then delete anything you don't like the look of, while it's still on your ISP's server:
http://www.mailwasher.net/
Chris