I have Outlook 2003 on my laptop and I am using exchange 2003. I also use Microsoft Mobile 5.0 on my Cingular 8125.
Apparently it is the exchange server that is marking the incoming spam by putting ***SPAM*** in the header, but then it sends it to my phone and my laptop. Outlook 2003 on the laptop also does not move the spam out of the inbox! All of the junk email settings are default values.