Message rules do not determine when the message gets tagged, your spam
program does. If it is tagged after it leaves the server, Do not download
will not work either. Plus, if you use Do not download, your server will
eventually reach your allotted space limit and e-mails to you will bounce
back to the sender. Delete it, or Move it rules will still work.

Have you considered filtering in your mail?

Start with the Address Book only rule and as you get messages you want from
people not in your Address Book, (E-mail from businesses, bills, your ISP,
etc.), you can add them to the rule.

Tools | Options | Message Rules | Mail | New.

Box 1 - Where the From line contains people {check it}

Box 2 - Check: Delete it & Stop processing more rules if you want messages
not in the Address Book to go to Deleted Items, or you can create a Junk
folder and direct them there.

You can choose Delete it from server, but be careful as you will never have
any messages downloaded to any folder, such as a new, wanted contact, if you
choose this option.

Box 3 - Click on the blue words Contains People

Click on the first address to highlight it. Scroll down to the end and hold
down the Ctrl key while you click on the last address. This will highlight
them all. Right click on them and click on From in the menu that appears.

Now click Options and Choose: Message *does not contain* the people below in
the top Options box, and choose: Message matches any one of the people below
in the bottom Options box.

OK your way out of the new rule.

Now, only addresses you entered will be downloaded to your Inbox. You will
not see any other e-mail.

Don't forget, if you add someone to your Address Book, you will have to add
them to the rule. It will not be added automatically.

Be sure to see these links for more options.

Some Message Rule Ideas:
http://www.mindspring.com/~majik/messagerules.htm

Some tips:
http://insideoe.tomsterdam.com/tips/rules.htm

Controlling Junk Mail in Outlook Express:
http://www.microsoft.com/windows/IE/community/columns/junkmail.mspx

Message Rules not working?:
http://www.tomsterdam.com/insideoe/faqs/why.htm#rules