Message Rules in Windows Live Mail

Hi,

I have a question relating to the use of the Message rules facility, in Windows Live Mail 2011.

In the attached Screenshot, it can be seen that there is an entry in the lower part of the window which states "Apply this rule AFTER the message arrives". I find this to very confusing. Having selected the "Do not Download it from the server" in the 'Actions' section, how can the Action be complied with, if the rule is only applied after the Spam message is in my In Box??
OR, is this meant to indicate that any future Spam emails which totally conform to the 'rejection' parameters, will not be downloaded, after the initial Spam email?

This doesn't seem to work anyway, since having carefully set up a particular rule for a received Spam email, the same Spam emails are still being downloaded to my In Box!

Any clarification would be most welcome :)

Thanks for your reply.

No, it's nothing to do with my Live.co.uk / Hotmail account.....
So that restriction is not relevant :)
I am fully aware of the restrictions on IMAP and HTTP accounts.

The account in question is a normal POP3 / SMTP account provided by my ISP.