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.