Hi David,
You forgot to tell us which e-mail client you are using, but I'll assume it's Outlook or Outlook Express. Unfortunately, the current batch of nasties always come from different 'spoofed' e-mail addresses, so there's no way to block then using that method. All you will end up with is a huge black list!
Many of us on Pals use programs such as
Mail Washer, or
Pop Tray, which enable you to see your e-mails on the server, before downloading them to your machine. You can then delete anything which looks 'iffy', direct from the server, before downloading mail you want to your PC. Mail Washer is probably the more 'professional' of the two, but you can only use it for one e-mail account, unless you want to pay for the 'Pro' version. If you have more than one e-mail account, Pop Tray might be more to your advantage.