You've not stated whether you're using an email client (such as Outlook, Outlook Express, Thunderbird or Windows Mail) or a web-based mail system.
If you're using Outlook Express (or similar), you can try to set up filters which divert all spam mail into a Junk folder (or straight to 'Deleted Items') but the spammers often deliberately change the (apparent) sender's address with each mail and also use different subject lines, so it's hard to create effective rules. Additionally, even when the rules work, you still have to download all of the rubbish to your PC, which (even with broadband) can take time. A better tactic is to try to stop the mail being downloaded in the first place. Mailwasher is a (free) program which seeks to do just that, by examining each mail on your mail provider's server before deciding whether to download it or just delete it straight away. It's not perfect, but it might help:
http://www.mailwasher.net/
If you're using a web-based mail service, you're far more restricted in your options. Some services allow you to try to set up filtering rules but their effectiveness is usually fairly poor.
The trick to avoiding spam though, is to use a mixture of 'confidential' and 'disposable' email addresses. I've got one email address that's strictly for family and close friends. I've got another one just for business. I never use either of those addresses for online shopping, signing up to things like Answerbank or for putting directly onto websites. For such purposes I'll always get a new email address. I probably only need it for a day or two. If, after that, it receives a million spam messages per day, I'll neither know nor care because I'll simply abandon it and use another 'disposable' address.
I set up my new addresses (of which I've used well over a hundred) with Gawab. Instructions are in paragraph