Or use a freeware program like MailWasher, ePrompter or POP Peeper to delete unwanted/dodgy messages directly off the server without having to download them first. All will also allow you to preview/read messages before you decide to give them the chop.
For MailWasher - click here
For ePrompter - click here
For POP Peeper - click here
I've given you 3 options as some prefer one over the others.