You shouldn't open a spam e-mail, because as soon as you open the e-mail up, it notifies the organisation that has sent that, saying this is a valid e-mail address. They know how long you've looked at it, when you looked at it and did you go back to it.
My reply has got rather long, and I'm sure some of my friends can add to it, so I thought I'd make it a post rather than a comment.
Firstly some mail clients (of which I know Outlook is one) have a facility whereby if the incoming mail has an appropriate header they will send a "read receipt" to the sender to say that you've read the email. This feature can reportedly be turned off, and I don't know what the default setting is. I think it's unlikely that spammers are using it, and I haven't noticed anything suspicious like that in spams I'm getting.
Secondly emails which appear to have attachments may instead have a link to a website or ftp site rather than the actual content of the attachment, so if the attachment is opened (deliberately or automatically) the contents will be downloaded and appropriate log entries made which could identify which addresses worked. However this feature (which is a really cool and useful feature and people should use it more for real attachments!) is rarely used and by now most people know not to open attachments.