Presuming you are using ourlook Express. I had something similar a few years ago and I think I was still using Windows 2000 but no reason why it shouldn't work in XP.
First find out where OE stores the mail. You can find this out by starting OE and go to Tool>Options>StoreFolder will show you. Note where in your directory the mail is.
Now rightclick the Local Folders folder in the folder list on left and make a new folder called cr@p. Drag the spam in there.
Now close OE and go to the folder where the mail is stored in your directory. Use Windows Explorer if you wish. Highlight the cr@p folder and press delete.
Now open up Outlook Express and you'll notice the folder is still there but it will be empty. You can now delete the cr@p folder or leave it there for future use.
Hope this works for you, if not, you've had a free finger workout.