What I'd do is stop using Windows Mail, and get something that will actually work. Mozilla Thunderbird comes to mind, though it's far from the only option out there. It has an adaptive, or learning, junk mail filter. It takes some training, but you should eventually see efficacy rates exceeding 90% on detecting spam. There are even extensions which expand upon the standard junk mail filter to make it even more powerful.
While it's still too soon to tell with Windows Mail, given the numerous security issues associated with its predecessor Outlook Express, I wouldn't want to take any chances on Microsoft not being able to be bothered to fix some of the numerous security issues with Outlook Express in Windows Mail. As a company, Microsoft still really doesn't get security.
Mozilla Thunderbird isn't perfect on the security front, but it's likely going to be significantly better than anything Microsoft puts out.
I believe that Windows Mail uses the same method as Outlook when it comes to spam, and that is Microsoft periodically releases updates that add or change the rules by which mail is classified as spam. It's a quick and dirty method, and oh so very Microsoft.
Moral of the story: Find something that works better for you.
My Gateway with Vista Home Premium is just a little over a year old. While I enjoy Vista, I just cannot tame the Junk Email process. At this point, I have to look in all three locations: inbox, Junk and deleted. Addresses I've marked as okay end up arriving as Junk or deleted; items I want banished end up in the inbox. In short, nothing works correctly. My first choice would be to disable the Junk process entirely. Yes, I've gone into the Junk location and cleaned out everything at least twice but that doesn't seem to have any effect.