Hit your properties, then message souce, check the info there. You can run a "who-is" on the IP address.
Typically, if someone is spamming and trying to avoid prosecution, they will have multiple sources to send from and it won't link back to the same IP.
If it's harrassing in nature, forward the mails to microsoft and they will pursue if there is a threat or something other than you just being irratated.
You can also block the messages from the sender if it is a repeat problem.