I would like to setup a folder for my Spam mail to go into

Enlighten Hosting Mac Mail Spam Folder Tutorial

This tutorial is designed to allow you to place all email marked as Spam through the Enlighten Hosting Mail system into a single folder so it can be sorted through later.

1. – In the Mailbox menu select New Smart Mailbox.

2. - Enter a name for the new mailbox.

3. - Change the conditions of the filter to match:
Subject Contains [SPAM]
Select OK