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I guess to do that you would have to set up a message rule, if it's possible, in your email client to transfer all such emails to a new folder that you've set up, but it isn't really necessary provided VirusScan is turned on at all times as it automatically scans any incoming mail.
Anti-Spam also works to filter mail but it is limited really in its scope as far as attachment emails are concerned as it works more on a "friends" list basis.
Page 117 onwards of the User Guide will help with Anti-Spam: http://download.mcafee.com/products/manuals/en-us/MIS_userguide_2009.pdf