I was thinking the same thing as Jeffrey Jones2 above.
I have Junk folder disabled: Mail>Preferences>JunkMail
I use SpamSieve - to manage my spam;
this indeed creates a "Spam" folder that I manage through Mail dropdown>Messages.
What are the details of your Mail? IMAP, POP.
Who is your mail account? gMail, MobileMe (iCloud,) etc?
More details would help sort it out.