Open the "Tools" menu and select "Message Rules" and then "Mail" (see below)
This will open up the Message Rules wizard, which looks like this (see below). Click on the button labeled "New..." to begin creating the rule.
Another window opens where you create the rule itself. Check the box next to "Where the Subject line contains specific words". Click once on "contains specific words" (see below).
Type "Might be spam" in the field and select "Add" and you should get a screen output similar to this one: