Was that with the Windows Mail app? I've not delved too deep into how to work that one. All I know is that my Gmail filters never seem to work, though I have the sneaking suspicion that this has something to do with it being an account that's managed (in the very barest sense of the word) by my old college. Outlook on the other hand just straight up gives you an option to block an address, but this doesn't work too well with ye olde Canadian Pharmacy and their 6,666 email accounts.
I am not sure, but I will say that in my Windows days, I bought (that is, bought, rather than downloaded a less robust free version) the most rigorous, robust anti-spam, (and-virus, anti-malware, anti-trojan etc) software available, and it was completely inadequate for the task at hand.
This has not been an issue - except exceptionally rarely - since I switched to Apple in 2008, for which I remain profoundly grateful.