The problem with doing the spam killing at your end is that you still receive these over your connection.
I recommend going with an email provider who offers better spam blocking at the POP server. There are a number of them available, from free to big bucks.
Yahoo pushes most of the spam into a bulk folder you will have to empty on a regular basis. You also need to put any newsletters, many automated services, and emails with large distribution addresses in your Yahoo address book or they may be diverted to bulk as well. You can filter out domains, and add 50 other filters as well. They have added "disposable" addresses to make it harder for spammers to find you.
MSN (Hotmail) also lets you control which emails come to you. You can limit it to addresses in your address book, or block addresses or domains.
Do a Google search on "email service+spam control" to get a large list of options.