If you want to enable spam protection for all e-mail accounts on your domain(s), follow the steps outlined below.
1. Please, go to "Mail -> Spam Assassin™" section of your control panel (CPanel), usually accessible via http://your-domain.com/cpanel
2. Click on "Disable Auto-Delete Spam" button, then go back
3. Does the page say "Spam Box is currently Enabled"? If so, you're ready to go. If not, click on "Disable Auto-Delete Spam" button, go back and make sure the page says "Spam Box is currently Enabled". And you're done!
From this moment, the spam e-mail will be thrown into folder named ".spam", accessible either via your IMAP4 e-mail client (you have to subscribe to ".spam" folder) or via webmail.