If you use Outlook 2003 sp2 (or a more recent version) you can also use your junk mail folder. The junk mail folder will convert any html emails to plain text, so if you
must open a suspicious looking email to see what's inside, send it there first. As previously said,
NEVER click on any links in the email.
Also, watch out for any emails with the subject "your package has arrived". The email address will look like it's from UPS, but is not. The links in the email will infect your computer. The company I support had a whole bunch of these emails received last month. Nothing to panic over though, if you're smart about it.
Note: Outlook as mentioned above is not the same as Outlook Express. The junk mail folder to my knowledge is only something available with the MS Office install.