I only have time to give a brief answer, so hopefully someone else might fill in the gaps. My Junk Mail Controls work well in Mozilla 1.4.
Open mail. Highlight the account of interest. Click on Tools|Junk Mail Controls. Fill in the boxes for "Enable Junk Mail Controls", "Do not mark...", and "Move incoming messages determined to be junk." Then fill in the location that you wish the junk mail to be delivered to. (I am currently sending all junk mail from all accounts to Junk on Local Folders.) Then you probably want to check the boxes "Automatically delete junk messages older than ___ days" and "When I manually mark messages as junk" move them to the "Junk" folder (or delete them). Click on OK. I think that it needs to create this the "Junk" folder by itself, so you may not want to help matters out by creating this folder yourself. (I'm not really sure about this.)
If the Junk Mail Controls are enabled and it still seems not to work, try this: turn the Controls off, close Netscape, open Netscape, reactivate Controls, close Netscape. It will take several days for the Controls to learn what Junk is, so you must train it carefully until it learns it well.
This advice comes from an uncertain source, so post back with any more details so that others or I might try to help you.
UserAgent: Mozilla/5.0 (Windows; U; Win98; en-US; rv:1.4) Gecko/20030624