If you have enabled the Antispam protection on your hosting account using the second method ( mark SPAM messages with ***SPAM*** in the subject ), you should create a filter on your mail client in order to automatically discard SPAM messages.
How to create a filter
1 - Open Mail preferences
Open Apple Mail and the select Preferences on the Mail menu.
2 - Add a Rule
Open Rules tab and click on Add Rule button.
3 - Configure the Rule
Write Spam or similar as rule description, then fill the different options as you see in the following image: