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Here’s a good article about spam from Information Week. Her last point was eye opening to me. She makes a very solid point.

Don’t open spam. Many pieces of spam contain HTML code which will open a connection to a Web server operated by the spammers. When you connect, you have verified that you opened the message. That informs the spammers that they have a good e-mail address, which — you guessed it — results in them sending you even more spam. Delete spam without opening it. Therefore, don’t use your e-mail program’s preview pane. Previewing spam is the same as viewing it.

Therefore, leave your spam messages untouched. Just delete it.