You can't prevent spam, addressed to you, from arriving on the server of your email provider. However, you can prevent at least some of them from being downloaded to your mailbox, by using Mailwasher:
http://www.mailwasher.net/
It's also a good idea to use 'disposable' email addresses. For example, if I post an answer, here on AB, inviting someone to contact me directly, I'll often provide an email address which I've set up specifically for mail relating to that particular question. I can then later delete that account from Outlook Express (and never bother to check it again via the web). It won't matter if a spammer sends a million emails to that address, I'll never see them.
If you want to create some additional email accounts, the most popular service, among ABers, is GMail:
http://mail.google.com/
However, some people don't like the way that GMail automatically scans all of your mail, so that it can append advertising material:
http://www.privacyrights.org/ar/GmailLetter.ht m
My own preference is to use Gawab:
http://www.gawab.com/
For instructions on how to set up accounts with Gawab (avoiding any advertising), see paragraph 3, et seq, of my post here:
http://www.theanswerbank.co.uk/Technology/Inte rnet/Question407429.html
Chris