Empty That Comment Spam!
Now click on that spam link and it will take you to the screen to delete these nasty things. (see Below)
You will notice that the word spam is highlighted in bold.
That means you are in that section of the comments manager.
* NOTE *
You can read through all of the spam comments if you wish and every now and then, but rarely, a good comment might end up in this folder, but it is very infrequent.
I do not bother, I just delete them all.