You have to turn it off by opening SecurityCenter
Click Web and Email Protection
Click Turn off and Apply.
If you want to keep Anti-Spam working then you are going to have to say Yes to that popup and install that folder again. That's how the product works.
If you don't ever want to use it again, next time you uninstall/.reinstall the product, use the Custom install option to exclude Anti-Spam. The only compulsory components which must be installed are VirusScan and Personal Firewall.