More often than not, if you find an offending piece of spam in Mail.app, it is quite obvious before it's even opened. Usually, the subject or the sender name is a dead giveaway. Normally, you would click on the email and then on the Junk icon. This changes the email's status to junk and removes it in the predetermined way.
However, clicking on the email automatically opens it, and thus the offending material becomes apparent. Worse yet, if it's in HTML, it notfies the sender that it arrived at a valid email address. So instead of clicking, just click and hold on the email, and immediately drag it to the Junk mailbox. Go check your Junk mailbox, and you will see that the offending piece of email is now marked as junk and remains unopened.
Mac OS X Hints
http://hints.macworld.com/article.php?story=20030417093649172