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.
SAProxy by Bloomba 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, however.
IMAPAssassin [http://sourceforge.net/projects/imapassassin] is a perl application which uses SpamAssassin to pre-filter an IMAP mailbox for spam, before you download it.