How to train in Mail

My manual seems to have a circular reasoning problem. I just set up SpamSeive in Mail.

The manual is telling me to do an initial training and correct any mistakes, but it never says HOW to do these things.

How do I teach SpamSeive that a particular message in Mail is spam?

Thanks,
Alex

The Do an Initial Training section says:

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).

The Setting Up Apple Mail section says:

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.

Message menu
Message Menu, thanks.