At the top of the message you will see the following links in the message frame right above the "reply" buttons:
[folder name] : Prev | Next : Download
Select "Download" from the above.
This changes the message window into the download window. In most cases you will see a line like this:
Full message: Content-Type: message/rfc822, with "Full Message" as a link.
(Note, depending on the spam, the "Content-Type" may not match the sample above. This shouldn't matter...)
A new browser window will spawn with both the headers and the message text. At this point, simply copy all the text in order to paste it to spamcop or in a message to whomever, should you be doing your own spam fighting :)
You may then close that full message browser window. To get back to the folder where the spam was, simply click on the [folder name] link either in the message window, or in the onebox.com navigation frame to the left.
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