If you have set up your e-mail account as a POP3 account, the SPAM folder is not accessible through POP3 protocol. It is suggested to use the [SPAM?] marker if using POP3. For more information, please reference What is the [SPAM?] marker?
Right click the mail account on the folder list. If you are using Outlook express then select Reset Lists or if you are using Outlook 2003/2007/2010/2013, select Update Folder List.