If the message was flagged as suspected spam, the original message is already an attachment and you can just forward it as-is.
If you don't know EXACTLY what it means to forward an email as an attachment, please continue reading.
The Long Version
In order to "teach" the spam filter about new spam, the original message headers must remain unchanged. You probably don't care to know what that means, so I'll sum it up using CSI terms. If it isn't forwarded correctly, you'll mess up the fingerprints and it can't be used to help the spam filter. Without going into more bad analogies, let's jump right into the process for each email client.
Please choose your email client from the list on the right.
Find the message in the message list. Right click, and choose Forward > Forward as attachment