In addition to these written instructions, there is a video that demonstrates how to set up and train SpamSieve with Apple Mail.
Quit Apple Mail. Then double-click the SpamSieve application and choose Install Apple Mail Plug-In from the SpamSieve menu at the top of the screen. When you open Mail once more, you should see three SpamSieve items in the Message menu:

Choose New Mailbox… (or New…) from Apple Mail’s Mailbox menu, and create a new mailbox called Spam with location On My Mac. (The capitalization is important; do not call the mailbox SPAM or spam.)
Choose Preferences… from the Mail menu and click the Rules button in the toolbar. Click the Add Rule button. Change the description to SpamSieve. (The description of the rule must start with SpamSieve, but you can add additional text after that, if you want.) Change the From menu to say Message Type (if you have Mac OS X 10.5) or Every Message (if you have Mac OS X 10.4). Then, next to Move Message, select the Spam mailbox that you just created. The rule should now look like:

Please note that although the rule looks like it will move every message to the Spam mailbox, because you have installed SpamSieve’s plug-in, it will only move the spam messages.
Now click OK to close the rule and save your changes. Apple Mail may ask if you want to apply the rule; click Don’t Apply (or No if you have Mac OS X 10.4).
Drag the SpamSieve rule to the top of the list so that SpamSieve will be able to filter all of your mail. If you ever need to temporarily disable SpamSieve, e.g. for testing purposes, you can do so simply by unchecking the rule.

Make sure that the list shows no other rules for processing spam/junk messages. If you find any, disable them (by unchecking them) or delete them.
Delete any messages in the Junk mailbox. The spam messages will move to the Trash mailbox. (If you do not have a Junk mailbox you can skip this step.)
Go to the Junk Mail tab of Apple Mail’s Preferences window and uncheck Enable junk mail filtering. This will hide Mail’s Junk mailbox and disable its junk mail filter so that it doesn’t interfere with SpamSieve.

So that it starts off at a good accuracy level, you should now train SpamSieve with some examples of your good and spam messages. (There should be spam messages in the Trash from Step 5.) To train SpamSieve with some messages, select them in Apple Mail’s message list, and then choose one of the SpamSieve - Train as ___ commands from the Message menu.
SpamSieve will now automatically move new spam messages that you receive to the mailbox called Spam. If SpamSieve is not running when you receive new messages, it will launch automatically.
To further customize SpamSieve, you can use the SpamSieve - Change Settings command in Mail’s Message menu or modify the rule. You can optionally turn off Mail’s New mail sound in the General preferences and instead let SpamSieve notify you only when you receive new non-spam messages.