If you can, you want the server that receives your e-mail to block it prior to your e-mail client getting the message. Your ability to block mail will depend on your mail service provider, as will how you set it up. Contact your service provider for more information.
That said, Mail provides simple junk mail filtering (it learns by you marking messages as junk, or by receiving information from your e-mail service provider), and rules. See Mail > Preferences > Junk Mail to adjust those settings, and Mail > Preferences > Rules to create actions that automatically take place when a message is received that meets your criteria (for example, move the message to the trash).
You can't block any email address; only your email provider or your ISP can do that. Some email providers give you the option to block emails from domains or specific email addresses that you designate, but not many that I've seen; Yahoo! is one exception.
Your ISP can block any email address or domain they like, but if it's one you want to receive email from, it's up to you to convince them to remove the block for those specific addresses, and that doesn't always work in your favor.
You can filter all incoming email using Rules and have the ones that match that or any other email address get sent to your Trash immediately, but that's not the same as blocking the email from being received at all.