Well, I have Spamassassin working, but it turns out that those X-headers it inserts are not usable by Outlook Express.
One source uses procmail to lower the priority. But just what I need, yet another process touching the mail!
Here is the URL: http://wiki.apache.org/spamassassin/OeFilter
It would seem that it is possible to code spamassassin to do this directly.