You can run a small proxy application on your client computer that will connect to your mail server, get the email, run SpamAssassin on it, then deliver to your email client.
That's a proxy server.
The only one I can seem to find is SAProxy by Bloomba . But they are charging for the little hack that makes it possible. Seems like a rip-off to me. is a Windows proxy server that's easy to set up and works quite well. It's $30.
Pop3Proxy (http://mcd.perlmonk.org/pop3proxy/) is a open source (perl) proxy server that seems to mostly work for Windows machines. Setting it up is *not* point-and-click easy, howeverThe core features are all open source.