Outlook Express 5.x or 6:
Click on Tools
Select Message Rules
In the first section check the box labeled "Where the Subject line contains specific words.
In the second section check the box labeled "Move it to the specified folder.
In the third section click on the "specific words link, type *****SPAM***** in the first box and click the Add button, then click Ok at the bottom of this box.
Then click on the specified folder link, click on the Deleted Items folder and click Ok.
Then click Ok on the New Mail Rule box and Ok on the Message Rules box.