I do use Anti-Spam software, but I don't get any spam either. I'll give some pointers that have worked for me:
1) I never give out my email address to anyone unless I trust them. I actually set myself up a hotmail account (which has a great spam filter, by the way, for newsletters, lists, or forums that I sign up too). This ensures that my other email is protected from being sold around the internet. I also have a new GMail account, I use this for forums I visit regularly (ie. GTD). The Hotmail one is for junk.
2) Make sure your email address is not something common. Add a number to it. Give it a really original name or word. Most Spam "bots" go after the most common email names. It is sometimes REALLY worth it to have your ISP give you a new email address to instantly stop all the spam. Getting your new address out is one email and well worth it.
3) NEVER, EVER, reply to a spam. NEVER, click on that "unsubscribe" button. This, in most instances, just confirms that your email address is good.
4) Outlook 2003 has a pretty good Spam filter built in. Just use "Office Update" to keep it current.
Finally, here is a good site that rates a bunch of different Spam filters:
Top Ten Reviews - SPAM Filters
Hope that helps.