Are you being bombarded by adult-content mail
like I was? At first I thought that maybe my 
son had been surfing into inappropriate sites
and they were getting our email address from that.
Apparently that was not the case since I had
the same problem even with a brand new computer 
and new Internet provider.  

My Internet provider uses a proxy server to 
filter out inappropriate websites, but I found 
that there is little they can do about filtering 
email.  I complained to both my Internet provider 
and my website host.  Neither of them provided me
any answers.

Then by searching through my email Help files I 
discovered that I could set up my own filter for 
either adult-content or junk mail or both.  If you
prefer it can be set up to identify this type of 
mail by searching on key words and color-coding 
them.  It is good to try this first anyway to 
make sure you aren't filting out something you want.  
I found that the "junk mail" filter sometimes 
identified mail that wasn't really junk mail.  
The "adult content" filter was right on.

In Microsoft Outlook 98:
Tools
Organize
Junk E-mail
Turn on (the button then changes to "Turn Off")

They can be done separately for adult content 
and for junk mail.

In Outlook Express:
I couldn't find any way to filter email.