Spam is just the unwanted mail that arrives in your email daily... Watches, Stocks etc... It's the Spam that has Attachments or Malicious ActiveX headers (Which is why no one should use Outlook Express) that you have to watch out for, if you run the Attachment or even open the ActiveX message you'll possibly execute a program that is made to download other files off the internet...
These programs rarely have any visible windows, they usually won't show up in the task list, they will change registry entries so that they get executed at boot time which makes them hard to get rid of without a knowledge of how to get rid of such programs... Overall just nasty...
I've seen brand new P4 3Ghz machines leave our shop and end up back in a week, where it takes at least 10 minutes after you boot it up before you can try and do anything on it.... Chock full of spyware, the internet as the customer finds out is just full of "Free Software" and things...
Like everything else, most "Free Stuff" comes with baggage attached... And when you get enough of this stuff on your machine things start to bog down from all these process's runnig in the background poping up windows with AD's and other assorted "Lovelies"...
I just love service calls in the office's where one machine in the corner is poping up pr0n windows on a regular basis...

Some Good ol'e internet guidelines...
You MUST have a virus scanner installed WORKING and UPDATED... Avast, AVG, Norton, McAfee whatever... it's all a matter of taste as to the brand...
Uncheck "Hide Extensions for know file types" in My Computer / Tools / Folder Options / View
That way you'll know when "openme.txt" is really a text file and not "openme.txt.exe" nasty program...
Install Firefox and Thunderbird as your browser and email program...
(Websites can put spyware and viruses on your computer as well by just going to a page on the site that has it... This is why you should NOT use Internet Explorer...)
Keep Internet Explorer for Windows Updates and those rare Secure sites you might have to log into...
Add / Remove Outlook Express right off the machine.
Do not open ANY Attachments unless you have asked for the file to be sent to you. Even if it comes from family and friends... The first thing mass mailer viruses do is go through the infected computers address book and mail copies of itself to everyone on the list...
So when OPENME.txt.exe arrives from Aunt Dorothy... You'll know it's not a text file right off the start as you've already unhid the file extensions, and anything with a double extension should set the danger flag.
Any .COM .BAT .EXE .SCR .VBS will execute... so "nicepicture.jpg.scr" is NOT a picture as well as "nicesong.mp3.vbs" is NOT a song... It's really the virus mailing you not Aunt Dorothy...
Delete the message immediately and dont play curious george by running it to see what it does, or to see if your virus checker will catch it...
Be careful of what you download, if your curious about a program "Google" the name of it and there will most likely be reports from people if it has spyware attached to it or not...
You want to really slow a machine down, put Google Desktop on it...
Fun Yet?