Moral of the story: the best way to deal with spam is to set up some smart filtering rules and ignore it. By replying (assuming it doesn't bounce from a forged header), all you've done is validate your address to the spammer and guarantee yourself some more junk mail.

As for Palemoon's point about web bugs, most Windows personal firewalls have application-aware proxies that will restrict the ports and addresses that a given application is allowed to connect on. You can restrict Outlook to ports 110 and 25 on your mail server, and you won't have to worry about that problem.

Welcome to planet Earth, my friend.