The email scanning with Windows XP is transparent, automatic, you don't have to change anything...
Do you use any other spam killer?
I've forgot, are you using SSL connection to get email? Like Gmail, for instance? Which is your email provider?
Is your email header with the lines
X-Antivirus: avast! (VPS XXXXXX-X, XX/XX/2008), Inbound message and
X-Antivirus-Status: Clean? (Right click the message, choose Properties and Details)
You can test the security of your email system here: http://www.gfi.com/emailsecuritytest/