Make sure that your message says which versions of Mac OS X and SpamSieve you are using, as well as the name and version of your mail program.
Open the Console application (in the Utilities folder) and check the All Messages area for errors from your mail program or SpamSieve.
If the problem concerns SpamSieve’s training or its accuracy, please attach the log file:
/Users/<username>/Library/Logs/SpamSieve/SpamSieve Log.log
to your message. That is, the file is called SpamSieve Log.log, and it is located inside the SpamSieve folder in the Logs folder in the Library folder that’s in your home folder. To open the Library folder under Mac OS X 10.7 Lion, go to the Go menu in the Finder and hold down the Option key. (In most cases there’s no need to attach the old, dated log files, whose names end with .log.bz2.)

If you are reporting spam messages that SpamSieve didn’t catch, please do not forward the messages using your mail program. Instead, enable the Save false negatives to disk preference so that SpamSieve will save future such messages to the folder:
/Users/<username>/Library/Application Support/SpamSieve/False Negatives/
Then send the files in this folder to spamsieve-fn@c-command.com as an attachment. If, after enabling the preference, a spam message gets through and is not saved in the False Negatives folder, this likely means that there is a setup problem and SpamSieve was not given an opportunity to filter that message.
If the problem concerns SpamSieve’s setup and interaction with your mail program, please include relevant screenshots of the SpamSieve rule, the rules list, or the message list. To take a screenshot, hold down the Apple and Shift keys and press the number 4. Then use the mouse to select the area of the screen that you want to take a picture of. This will create a file called Picture 1 on your desktop. Pressing the keys again will create Picture 2, etc.