You do this by selecting some messages in your mail program and choosing a training command from the menu (as described in the last step of the “Setting Up” section](SpamSieve Manual: Using SpamSieve) for your mail program).
To train SpamSieve with spam messages, select one or more of them in Mail and then choose SpamSieve - Train as Spam from the Message menu. The messages will be colored in gray and moved to the Spam mailbox. To train SpamSieve with good messages, select one or more of them and then choose SpamSieve - Train as Good from the Message menu. The keyboard shortcuts for these commands are Command-Control-S and Command-Control-G.