Why is SpamSieve not catching my spam? page. It may be that something isn’t set up properly on your Mac.
Regardless, what you should do now is follow the directions on the Why is SpamSieve not catching my spam? page. The end result of this process will either be that it works or that you e-mail me the results of the test that it asks you to do, along with the additional requested information so that I can help you.