Open the "Tools" menu and select "Rules Wizard":
This will open up the Rules Wizard window, which looks like this:
Click on the button labeled "New..." to begin creating the rule.
Clicking this button will open another window, which looks like this:
In this window you create the rule itself. Move your cursor over the word "specified" and click it once. Of the folders you are offered, select the folder you created earlier and named Spam. When you have done this the word "specified" should have been replaced by "Spam":
Now select "Next".