You can change the name of the mailbox where incoming spam messages are stored. For example, you might put a space in front of the name to make it sort to the top of your mailbox list. To do this, simply rename the Spam mailbox in Mail by selecting it and choosing Rename… from the Mailbox menu. The SpamSieve rule in Mail’s preferences should automatically update to reflect the new mailbox name. (To change the spam mailbox to a different mailbox that already exists, open the SpamSieve rule in Mail’s preferences and select that mailbox from the pop-up menu.)
Then choose SpamSieve - Change Settings from Mail’s Message menu and, when prompted, enter the new mailbox name. This will tell SpamSieve where to put the messages when you use the SpamSieve - Train as Spam command. You can also enter the name of a different mailbox; some people like to enter Deleted Messages so that messages trained as spam are moved directly to the trash.