SPAM

I have found few answers for your question:

That would probably be coming from your ISP, check with them.
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There is nothing in Windows Mail that can tag messages as spam. If you did
not install a spam program, perhaps your mail server has. Check their
site.
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use your browser to sign into your ISPs webmail interface.
Check the junk mail options.

Many ISPs have installed junk mail filters to examine incoming
messages. Typically, an ISP might offer some or all of the
following options (before they reach the user's computer):

1. Do nothing, which allows suspected junk mail enter the
user's inbox.

2. Move all suspected junk mail into a separate folder on the
server. With this option, the user needs to sign in periodically
via the webmail interface, to check the content of the junk mail
folder.

3. Label suspected junk mail as SPAM, before it enters the
subscriber's inbox. This option allows the subscriber to
configure the mail client on his local computer (i.e. WLMail) to
apply "Rules" to incoming messages. For instance, a suitable
Rule in WLMail might be to move incoming messages which include
the word SPAM in the subject line to a separate folder.

4. Delete all suspected junk mail. A risky option, because
the subscriber has no opportunity to review false detections.
cheers