My DSL company (AT&T) uses Yahoo for email now. It is easy enough to setup Thunderbird/Outlook/Outlook Express to work with the service, but there is a SPAM blocker function at the server level that can be disabled.
To do this, you have to access your email setting via web-mail (mail.yahoo.com?). Then on the top-right corner (just above the current weather) click on OPTIONS, then click on Mail OPTIONS. Then on the left, click on SPAM, and then uncheck the box that says "Automatically send suspected spam to my Spam folder".
It seems this option is enabled by default.
I prefer to control my spam at the client level, not at the server level.