A small clarification: if you mark a message as spam and then delete it from the Junk folder, the antispam system will still be trained.
If you want to block all messages from a given sender, then you'll want to set up a blocklist. Preferences > Mail > Junk Mail Options. Or you create a filter based on the address, subject, etc., by right-clicking the message. Filters can discard messages (NOTE: they're discarded without a trace), file them directly into Trash. If you know what you're doing you can even auto-file them into Junk. See
Bug 37164 – mail filed into Junk by Filters is not used to train anti-spam