As the 'proxy' in the name implies, it installs itself in the system tray, and sits between the ISP's POP3 server and one's POP3 mail client - Outlook Express in my case.
It has an automatic Windows installer, and you simply have to change the pop server to 127.0.0.1 and append the real pop server name to your user name. It then intercepts mail and appends something to the header of the messages if it thinks it's spam based on its heuristics, then you can use Outlook's mail rules to put these in a 'spam' folder.
Since the spam has reached absurd levels recently this was definitely something I needed to do.
So far I am very impressed.