I have just implemented Spamihilator (freeware @ www.spamihilator.com) on my USB drive.
This has been a been a lifesaver for me as I have found that plain old bayesian filters just don't do the job for me. This morning I had over 300 emails in my inbox. Spamihilator filtered all but 5 spams emails and let all 18 of the good ones through. Not having it on my USB drive was a real PITA.
Turns out all I had to do was copy the Spamihilator folder over to the USB drive and add a shortcut to PStart.
I'm now a happy camper again.