Answer
When GFI MailEssentials is installed on the same machine as Microsoft Exchange server, you can configure the Anti-Spam rules so that spam emails will be saved in the users' mailboxes. However, this can only be done on the mailboxes that are located on the same machine. You will not be able to perform this on mailboxes that are located on a different Microsoft Exchange server.As a workaround, you can tag the messages and make use of the rules manager in Microsoft Exchange 2003 or Transport rules in Microsoft Exchange 2007 and Microsoft Exchange 2010. Using the rules manager, you can configure rules on the mailboxes. The rules would check the subject of the emails, and when a tagged email is found, the message will be moved to a specified location in the mailbox.
More information on the rules manager can be found in the GFI MailEssentials user manual documentation. For more information on setting up Transport Rules, please consult Microsoft Knowledge Base.