i had the exact issue.
my 2 cents says if you HAVE to have outlook express, use mailwasher. it does work once it has been properly trained. it is a great program from a great company.
you might consider trying mozilla thunderbird as an alternative to oe.
better yet, just consider using a gmail account. that's what i ended up doing (after all the above). it works great for me.
with gmail's internal filtering, i maybe get 1 or 2 spams every week or so. what i especially like is that being an online account, i don't have to risk my computer by downloading any of the email. i just store it at gmail.