Does your ISP have a web mail interface? Perhaps that would allow you to set up junk mail filtering on their server. I suggest contacting your current ISP to discuss your options. OE has the ability to set up rules so you can move mail from known senders to another folder and then you could scan the remaining messages and any you want, rag and drop manually. Then after you've moved the ones you want, highlight one and press Ctrl-A to select all and then hit delete.
-steve