The easiest way is to use the free Dockless utility: wait for Dockless to generate a list of your applications, find SpamSieve in the list, uncheck the box next to it, and quit. When SpamSieve’s Dock icon is hidden, its menu bar is inaccessible, but a new command called SpamSieve - Open Window will appear in Apple Mail’s Message menu after quitting and relaunching Apple Mail. This lets you configure SpamSieve’s preferences, view the statistics, and access other parts of SpamSieve’s user interface. With other mail programs, you will need to use this script in order to do that.
Alternatively, you can do this manually. Hold down the Control key and click on the SpamSieve icon in the Finder. Choose Show Package Contents from the menu. Open the Contents folder, and then open the Info.plist file using TextEdit. At the bottom of Info.plist, change:
<key>LSUIElement</key> <string>0</string>
to:
<key>LSUIElement</key> <string>1</string>
(That is, just change the 0 to 1.) Then save the Info.plist file and relaunch SpamSieve. You may need to temporarily move the SpamSieve application to the desktop and double-click it there in order for Mac OS X to notice that you now want the Dock icon hidden. To make SpamSieve’s Dock icon visible again, change the Info.plist file back; that is, change the 1 back to 0.
If you download a new copy of SpamSieve, it will have a new Info.plist file, so you would need to make the above change again if you still want SpamSieve’s Dock icon to be hidden.