A common situation is to have several Entourage rules that file incoming messages into different folders (perhaps based on the account or subject). If spam messages never match the criteria of these rules, then you can simply order these rules above the SpamSieve rule(s), so that SpamSieve only processes the messages that don’t match your other rules.
If, however, you want SpamSieve to filter the messages before they are filed by the other rules, then you should follow the instructions in Two SpamSieve Rules and put the other rules below the SpamSieve rules.